All the horses and Items are in a different group. There's objects (houses, battlements, etc), plants, passages, entry points and items (helms, horses, weapons, etc) I believe.
Pressing the left and right arrow keys cycles through the individual objects, I think you press Ctrl + left or right (or Alt +left or right, i can't remember which) will cycle through the object groups.
Yes you can delete existing buildings. Select them by either pressing enter while looking at them (when they're highlighted green), or press pgup or pgdn to cycle through the existing objects in the scene. Once the one you want deleted is highlighted yellow, press delete.