Can I create a new message from a collaborative inbox?
Yes, you can use the New Conversation button and add the address to the Cc box.
Can I change the order that messages appear in a conversation thread in a collaborative inbox?
No, in a conversation, the latest message will always appear at the bottom of the thread.
Why is there no option to delete a message in my collaborative inbox?
You need to be an owner or manager of a collaborative inbox in order to remove messages from the group.