Keep figthing man, do not let this to define you

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As for your questions:
- The download vs no download depends most likely on whether the text is a plain text or a MMS. The Message+ app automatically converts to MMS all outgoing messages to multiple recipient, so that it becomes a sort of group chat, where everybody gets what everybody is texting. When you create such texts, you will see a slider in the upper corner, which allows you to convert the outgoing text to "Mass Text", if you wish so. It means that each recipient will get a plain text and when they reply it will be to you only.
Whether or not you have to download the incoming messages when you get one depends on how it was sent to you and on the setting of your Message+ app. As someone else pointed out, if you check " Auto-retrieve" in "Advanced" under "Settings" ( of the app) it will do it automatically. Incidentally, today Verizon pushed an OTA which fixed the Stagefrigth vulnerability (malicious code could been downloaded via MMS messages), so now you can keep Auto-retrieve on all the time.
- To share big files, pictures or videos I use WhatsApp. I also use an app called "Video Zip" to shrink videos. It works amazingly well and you can select both resolution and quality of the compressed video. If you select "Custom" for Video Quality, you get a slider to select how big in MB you want the compressed video file to be.
To do the same with pictures I use the "Photo Resizer" app. Very easy to use and several options as well.