Is there a pointer that I can access that says "END OF LIST" or some such?

I want to loop over all found records. I know I can do it with a counter and checking for when the record number equals the counter but it would be easier just to check for an end of file or list or something.

If you use Go to Record/Request/Page [Exit after last, Next] in your loop, this will happen naturally. Once the final record is reached, this step exits the loop.

The reverse is also true ... if you are running your loop backwards, you can use Go To Record/Request/Page [ Exit after Last, Previous]

So, I am realizing I also need to be able to do batch deletions of records. Do I have to loop over the found deleting each or is there a delete all function that I can't find?

Try the Delete All Records script step.