Power Messenger will not show a On Sale message for the products, one way you c can get around this is to create a New category called sale and add all sale items to the category. it is an excellent suggestion, I will add a feature request to have this considered for an update.
In the Cafe Commerce Admin, there is an option to export the data. If you need a more complete database dump, let us know, and we can provide that for you.
Cafe Commerce does not allow you to use a custom template. On the Design Tab, go to the advanced section, this section allows you to create custom CSS rules to override the Cafe Commerce CSS.
You can use fire bug in fire fox to inspect page elements and see the css and selector names. useing those selector names, create css rule in the advanced section.
Showing the category name / highlighting the category are also not features that are implemented in cafe commerce, but they are excellent suggestions, and i will add them to the feature request list.