Steps to reproduce:
1. Open the attached project
2. Open the scene "TestScene"
3. Create a new Particle System
4. In "Shape" select Mesh and apply a mesh "Egg" from "prop_eggNormal_small" (any mesh will work)
5. Now select the shape to be a sphere
6. Create a prefab and use "Select dependencies" on it
Observe, that even though Shape is selected to be a sphere, it still selects the mesh which was used there previously.

Expected behavior: If Shape is selected to be a sphere, when selecting dependencies mesh shouldn't be selected.

Workaround is possible by selecting Mesh to be Empty and then changing the shape.

Video: http://screencast.com/t/yjDgmK9z