I just checked, and it looks like they charge to add a blog -- $150 annually or $300 one-time. They had no free option.

No, you can't actually tell or suggest to Google directly which sitelinks it should use.

You can tell it which site links not to use, and hope that it chooses another instead. In Google Webmaster Tools under Site Configuration > Sitelinks there is an option to "demote" specific sitelinks that you don't think should appear. Sometimes Google replaces it with another sitelink, sometimes Google just removes it, and sometimes Google decides to ignore your request.

But for getting new ones on there, the best you can do is make sure that the most important pages are linked to from your site's global navigation, and make sure there aren't too many not-most-important pages in the global navigation to confuse Google.

I think you should avoid this place. One easy way to test the quality of a site is to see how they rank for various terms -- this one does not even rank for the name of the site, which is probably a good indication that while they have built a lot of links (thus the PageRank) Google sees them as a spam site.

From a pure SEO perspective, it's better to have the link in the footer appearing on each page.

This is standard practice of almost all web design agencies. Giant blog platforms like Wordpress and Blogger also put in a credit link by default. The presence of a credit link like you described the footer will not hurt you in any way.

There is some debate about whether or not it will help you at all (I think it will -- footer links are greatly discounted, but still seem to count for something) but it won't hurt, and it makes sense from a branding/advertising perspective.