There's an option to exclude certain assets from clean-up options, as seen in the screenshot below. You can apply this option for individual assets by going to the Edit Asset screen, or you can mass apply it:
- Go to the Assets tab
- Check the boxes in front of the assets you wish to exclude
- Click Mass Edit Assets in the left hand pane (the top one)
- In the pop-up, select Not affected by cleanup options from the dropdown and check the box. Afterwards click the Change Fields button