Several comments to make:
1) The rumor is that the next iOS update will allow individual photos to be deleted from the stream. We'll see.
2) Photo stream is intended to be a way of transmitting photos from one device to another. Once a photo gets to the "other" device, you should move it into a permanent album or folder if on a computer. After a month photos are automatically deleted from the stream, since it's assumed the user has had plenty of time to deal with copying photos from the stream to a permanent location on each device. If you don't want a photo on a particular device, then don't copy it elsewhere - the photo will eventually disappear from the photo stream.
This is true for pictures that you took and uploaded to / downloaded from Photo Stream prior to upgrading to iOS 5.1. For these pictures, they need to be manually deleted on each device. This is a bit of a pain, but the good news is that it should be over after that.
For any new pictures that you upload to / download from PhotoStream after your devices are on iOS 5.1 (and latest versions of OS X / iPhoto / Apple TV software), deleting one photo from Photo Stream will remove it from all devices.
(Note that you might need to turn off the "automatic import" feature in iPhoto preferences for Photo Stream for this to work in iPhoto.
See here for more details: http://support.apple.com/kb/HT5125