Have a response! TL;DR: I'm in favor of everything on your list except items three and six, and propose an additional confirmation screen for item two. I also explain what's wrong with item six (increased vulnerability to file deletion, compression taking up most of time it takes to save, and storage being really cheap).
Having to leave the game when you save isn't a major delay, although since it clearly is possible to trigger a save without having to leave the game being able to do so manually could be useful. Killing the game with the task manager is not dangerous in the least, unless you kill the wrong task (in which case, you're not being careful and deserve the consequences), although I will admit that being able to exit without saving would be nice (as long as there's a confirmation screen, as with abandoning the fortress, to stop people from pressing it accidentally). Having to go through the main menu (and press up then enter) to leave the game after saving is not an issue unless you don't realize that the menu wraps around (pressing up at the top option brings you to the bottom option), in which case you probably deserve the horrible torment of having to press down several times.
More granular control of autosave is good, loading the last saved game is good, and only storing the deltas would be great - however, it wouldn't reduce the time it takes to save (except perhaps in the case of not needing to store world information again). Deltas are mostly useful for reducing the amount of information you have to write, or move around. It would decrease the time it would take to save if using uncompressed saves, though, as the uncompressed information is, I expect, pretty much the same as what's stored in memory while the game is running (and, operating on that assumption, the reason it can take a while to save is due to needing to compress the data). If using deltas to reduce the size of save-files, you would wind up in the unpleasant situation of the first save file being very large while all future ones are pretty small (if using autobackup), and people then deleting the first one and breaking all of the other ones. Storage being as cheap as it is[1], I don't think that this would be worth the effort it would take to implement.
[1] You can get an 80GB USB hard drive for $30, or a 2TB SATA drive for $120. Most computers have DVD writers, and a stack of ten dual-layer DVDs (8.5GB a disc) is about $7. Given that most of my saved games are under 20MB, I think I am justified in saying that, where dwarf fortress is concerned, storage is cheap.