Perhaps your 'Save Incoming Media' in your WhatsApp settings is off. You have to toggle it on to allow automatic saving of media in your Camera Roll.

Transfer files via headset???

I can see where you are coming from. Perhaps, let me venture a guess as to why they decided to have it that way. Mind you, I am impartial to it.

You see, this removal of all deleted items is only in the Deleted section. The reason is once a decision to delete is made, one can conveniently delete at one go what is not wanted. However, when in the other sections, sometimes one may not want to delete certain items in the group or even miss noticing something which is important in there and with just a click in error to delete all can be negatively consequential. Hence, I believe, that is the rationale for maintaining it this way.

It is just safety/practicality VS convenience. And Apple decided for the former, which could be right as their devices are quite widely used for business/work purposes.