2. Is blitzmax relatively cheap?
Relative to it's competition, very much so, yes.
Or are those free c++ compilers a good option?
If you want to code in C++.
10. BlitzMax is compiled, but what makes it slower than C++? Is it that C++ makes better assembly code? is it that some of blitzmax isn't actually compiled?
BlitzMax is 100% compiled and very comparable to C++ speeds. Any speed difference is a direct result of C++ being a lower level language than BlitzMax - there is always a price for abstraction, but in Max's case the difference is negligable ie ease of use far outweighs any speed decrease you may (but probably won't) notice.
At any rate, the majority of Max's code is open sourced, allowing you to understand the code and make changes/optimisations/bug fixes of your own accord (always post them back up here tho if they're useful!:) and if you know what you're doing you can tinker with the assembly output as well. But you'll doubtless find that's completely unnecessary.