So the URBI Engine is running remotely on the computer, isn't this too slow, too much lag?

In most cases no.

Why can't I connect UObjects that I have created with the free GPL URBI-SDK?

You are probably using the free for personal use version of URBI Engine for iRobot Create. A "pro" version will be available soon, which will allow you to use UObjects.

Can I connect my Aibo and my iRobot robot both running URBI?

Of course! URBI Engines can communicate with each others with a uclient UObject to send/receive commands. Will be available soon.