SOLUTION:

I had the same problem and was reading through this when I had an idea.  I have a galaxy s6 and I use the message+ app also.  I have way too many text messages and I wanted to delete them without losing all the pictures.  I couldn't find the solution on message+ and couldn't find the pictures anywhere on my phone. 

Anyways, here is my solution.

1. Open the default messaging app on your phone (mine is a samsung so it is just called MESSAGES)

2. Click on any CONVERSATION with photos you wish to save. (any box with someones name you have texted)

3. In that conversation you will see MORE printed in the top right corner.  Click MORE

4. This will open a drop down menu. Select ALBUM, this will take you to all of the photos in that conversation. 

5. Click the CHECK BOX in the top left corner to select all photos.  Then click SAVE (you can also select all the photos individually if you would like)

6. ENJOY THE PICS