Wither's despawn in creative. I don't think this should happen. The EnderDragon does not despawn in peaceful.

The player purposefully spawns it. How would you feel if you spent hours gathering the heads, placed them, only to realize you were in peaceful?

Its not like the wither ever spawns without the player's consent, therefor peaceful should not affect it.

An alternative is to prevent spawning the Wither and leave the blocks in the form so long as it is in peaceful.