Found the solution and it is 'bad'. In the Messages+ app info screen (not Settings) there is an option 'Send Premium text message'. If that is checked I can send messages with WiFi off. The options are Ask, Never allow and Always allow. I set it to Ask. The problem is even with WiFi on it still asked. Meaning it is using my data plan.
Now, it makes no difference to me as my account has unlimited messages.