|Are there a risk or are Kaspersky and other AV prg. completely wrong?|
This doesn't mean that you are at risk. Anti-virus detects that your computer has remote control / access tools installed. Sometimes remote control software is being installed without permission from PC's owner. In such cases this is barely legal installation - it may be used to access this computer for spying its user.
But since you are the one who installed Radmin onto your PC and surely know that Radmin is running on your computer, everything's OK. Just be sure to use Radmin's security feature - Radmin password/NT Security and IP Filter - and no unauthorized person would be able to connect to your computer.
There are two ways to forbid antiviral software deleting Radmin Server:
1. Disable scanning for "potentially unwanted programs" or "riskware" under options of antiviral software.
2. Set antiviral software to ignore "r_server.exe" and "radmin.exe" files.