Scaling in UE4 is always applied in local space because we do not support ‘shear’ on meshes. If you rotate a mesh and then try and scale it along world X, you would end up shearing it. Uniform scaling should work fine, and scaling a group of meshes where none are rotated should also work.
Blueprints are the intended solution for grouping and making an asset. You make a good point about embedding BPs inside other BPs. This is possible with the ChildActorComponent, but that is not used automatically when selecting a group of Actors in the level and making a BP from them. That is something we will look into.