1. Uncorrelated subqueries are supported with SQL Commands. Thus, you have to write the SQL from scratch.
2. The record selection formula MIGHT send the restrictions to the database level. CR doesn't have very sophisticated 'SQL translation' tools available and it can't convert complex selection formulas into raw SQL for processing. So if you have very simplistic formulas (>, <, etc.) then it will do it.
3. If you don't have SQL Expressions as an option, then CR thinks your database doesn't support them. I assume that you're not using SQL Server? I've heard of problems with MySql. With Oracle I think you have to use the ORACLE ODBC drivers.
Since you are doing so much SQL work, you should check out my book. I'va already answered all these questions (and a dozen more) in my chapters on databases and database optimization. It will save you hours of work. You can get it here:
Crystal Reports Encyclopedia