Google+ is not designed that way it is cloud storage and supposed to backup your pics from the phone, not the other way round.
The easiest way i've found is to simply select all the pics in G+ then email those pics to myself and then in Gmail i open one email with all the pictures as attachments where you can save them all in one go to the gallery.
I can delete single pics in G+ are you long tapping each pic to get the options for 1 pic only? Or do you mean the message says it will delete the pic on the phone as well? Again this is by design as G+ is cloud storage. For this I just organise my G+ pics on a PC instead then it doesn't interfere with my phone's albums. Or you could open G+ in a browser on your phone, rather than using the G+ app, either way is not ideal though.
