I will give some comments.
The Link CAN Lambda was designed specifically to work with our ECU, it has bi-directional communication so not only is data received from the device but the ECU also sends data to it. This allows the proper warm-up strategy to be applied during start up, EMAP compensation can be applied correctly for situations where there is back pressure and if a sensor is reporting an error condition the ecu can disable CLL or in the case of multiple sensors, ignore the failed one from "lambda average" calculations. The stuff like temperature, heater voltage, etc are mostly only used for diagnostics.
Most of the 3rd party devices will have no receive - they only transmit data so they dont know if the engine is running or how long it has been running for to apply the correct warm-up strategy (potentially shorter sensor life). Many of the 3rd party devices will send some sort of error or status message but in many cases it is not in the format that our ecu needs it to be able to do stuff like disable CLL. In some cases you will be able to log these errors but unlikely act upon them.
I have used a few of the X-series AEM's on budget installs and they have worked ok for me to date but I do hear/see some reports of short sensor life with them more often than others. To get the extreme response speed they certainly dont use a Bosch chipset or control the sensor in the way Bosch designed it to be so sensor life is possibly a side effect that. Some claim they are not using a genuine Bosch sensor either.
Yes, an ecu controlled relay is a good idea. It still wont give the proper heat up strategy but it is better than nothing.
No. Free-air cal is not particularly useful in my opinion, it was something made famous by Innovate as they didnt use the Bosch fitted calibration resistor. Air has about 21% O2, exhaust gas has none when less than 1 Lambda. So it only calibrates on the lean side of the curve and even then it is like trying to calibrate your precision 1volt voltmeter using a 2000V source...
Ecotrons ones have a good reputation - I have never used one myself but only ever hear good comments about them. If you are not in a big hurry I know 14point7 are releasing a CAN bus "Spartan 3" soon, I tested a prototype a while ago. I use his analog ones for most of my budget installs and have very good success with them.