Morning Mike, to delete a segment (ie A single wall) make sure you are in EBE mode, then use the same segment piece selection and make sure the rotation is the same (inner/outer wall) using R, then Shift+LMB to delete.
The Whole structure disappears for you because you are in Entity mode, so GG recognises the structure as one entity due to the linking of segments when building in EBE mode.
EBE = Right click on structure and select edit
This is still quite new so please keep asking questions!