Hi,
Changes can be "group"deleted from the "Change Manager" palette/ "Changes" list by multiselection, with shift/ctrl or Ctrl+A (Select All)
Issues can only be deleted individually, because there is no "undo" option (unlike with Changes) so on one hand the risk is greater, on another it is not a regular workflow to delete the whole history. We do understand the special situation of this use case, however the workflow was not optimized for this case.
The question as to why the changes remain in an issued state after the deletion of the last issue is valid. It could be a refresh problem, maybe a Save + Close + Reopen would solve it. If this case can be reproduced several times, please let us know, than we will record it as a bug.
In the meantime, please try this:
1) Select All in the Change Manager
2) Instead of delete, use the Archive Changes command (in place of the Delete button / from the context menu), the changes become archived
3) Show Archived Changes (with the eye)
4) right click the Archived Changes and multiselect, delete all
this option is not on the interface as a dedicated button, because of the above mentioned regular workflows, but can be reached as described after a warning.