sometimes it's necessary to do a mass deletion on open Leads. It worked fine in the past.
Now you can select and mark eg. 3 leads, select "mark for deletion" and the system asks "you want to delete the one entry?" and then it deletes just the first marked entry (with Internet Explorer, Firefox and Chrome). Opening the leads in silverlight and tried it there: looked better at the first sight, the system said the right (chosen) amount of leads, but: the result has been the same, just one lead is deleted.
I did some checks in some of our SAP test systems and it seems that the behavior is the same as you reported. Do you remember when was the last time that the system was allowing you to delete multiple leads? In this case I would recommend that you report an incident to SAP Support, they will be able to check if something changed in the last patches or system releases.
Select multiple leads and from Action button,use the Initiate Deletion option as shown below.
When i checked,Its working in our SAP test tenant.So raise a ticket share your feedback.