Not sure about your first problem, it should ask if you want to copy them all...
Second: Lifeblog won't backup everything, you should use
PC Suite for that... but I would highly recommend backing things up individually, rather than using the 'Backup' feature... If you backup the error, you'll restore it again when you put it back on...
Lifeblog will take care of all your SMSs, MMSs, Images, Movies, Sound Clips, Notes - that's all in the settings. You should backup contacts, ringtones/MP3s etc. Calendar entries separately.
The sound quality of the speaker is probably a hardware problem, so you should take it to your nearest
Nokia Service Centre and get it checked out - assuming it's not been tampered with, it should still be covered by its warranty.
Nokia History: 3110, 5110, 7110, 7110, 3510i, 6210, 6310i, 5210, 6100, 6610, 7250, 7250i, 6650, 6230, 6230i, 6260, N70, N70, 5300, N95, N95, E71, E72
Current Phone: HTC Sensation - Android 2.3