I've tried to create an new Servo object on port "A" as described in the video tutorial, but it fails.

It probably means that there is already an object xxx created on port "A" (maybe the default Tribot.ini layout is loaded?). Simply comment out the load("tribot.ini") line in the NXT.INI file, or delete the existing object using 'delete <objectname>'.

I've created a new servo object called 'claw' but when I try 'claw = 10' it doesn't move.

In the tutorial we use aliases on the object names. If you don't define an alias, the default way to control 'claw' is to use 'claw.val'. If you want you can create the alias with 'alias claw claw.val' and then 'claw=10' will work.

I can't connect with bluetooth, however with other software it works.

We are using the standard LEGO API and the default windows driver for bluetooth, with Windows XP SP2. Try to change your configuration to match this requirement and it should work.

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

In most cases no. The advantage is that you don't have to update the LEGO firmware. But we are working on an optimized version to go even faster in the future.

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 LEGO MINDSTORMS. A "pro" version will be available soon, which will allow you to use UObjects.

Can I connect my Aibo and my LEGO 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.