Some very strange (not ICAO-standard) radiotelephony being used.
An excellent source of info is the ICAO publication "Manual of Radiotelephony" (Doc 9432-AN/925).
"that is correct?"
I thought the response is "affirmative" (yes) or simply "correct" (that is correct).
"blighty?"
Is that the same as the British expresion "gor Blimey!"
The proper phrase for "I understand your message and will comply with it" is "Wilco."
I'd say don't worry too much about the "Canadianisms"-- I much more respect a pilot or controller who sticks to the technically correct vocabulary than trying to sound like one of the local cowboys. So "disregard" the "checking in"'s, "with you"'s and "level at 3.5"'s that you hear.
To answer your other questions-- the vectors to VFR aircraft are always appreciated if asked for, as is flight following or "radar surveillence" as it is referred to in Canada. Don't know what your proper ATC protocol is, however, if the pilot is outside of your airspace and doesn't ask, don't give-- he might resent it. The only thing I have heard that pilots are required to read back is a runway hold short instruction ("roger" or "wilco" will not suffice). Even when assigned an IFR clearance, simply reading back the transponder code is sufficient, and I doubt that even that is legally required.