My aim is to only keep 'special' photos on my iPhone & iPad but keep my entire collection of photos (now more than 25,000) in my System Photos Library which is on an external SSD connected to the MacPro.
If that is your stated goal, you would be best off syncing the albums you wish to your devices and not worrying about photostream or iCloud.
If I leave the iCloud Photos box unchecked (as above on my Mac Pro) and tick the My Photostream box, each of the pics taken on my iPhone appear in the My Photo Stream Album under the Photos list in the left sidebar on the Mac Pro.
Correct, but only up to the last 30 days of photos will appearing your photo stream.
I understand that deleting them from my iPhone results in their being deleted from the My Photostream album on the Mac Pro in 30 days.
Correct. And from iCloud if enabled.
Would moving photos out of the Photos --> My Photostream Album on my Mac Pro into a separate Album under the Albums list not prevent their being deleted as they would them be contained in my System Library which is not saved in iCloud?
Yes as you would move those images to your library.
You may find this helpful: My Photo Stream - Apple Support