AWS relationship between Availability Zones and Security Groups

the first thing to say is that you are mixing up Availability Zones and Regions. Frankfurt is a region, London is a region and each region has two or more availability zones. The link below explains the difference between Regions and Availability Zones:

http://docs.aws.amazon.com/AWSEC2/latest/UserGuide/using-regions-availability-zones.html

When you create a Security Group you link it to a VPC, the VPC will have one or more subnets, these subnets are created in an Availability Zone in the same AWS Region as the VPC. The Security Group will not be visible in any other AWS Region apart from the region it is created in. The security group can then be used by any EC2 instance in the same VPC as the Security group.

If you delete resources like an EC2 instance, it takes time to be removed by AWS, once it has disappeared form the console and as long as no other resource is using the Security group you will be able to delete it.

Hope this helps.