If I use a bluetooth USB stick to connect a device, should it "just work" replacing the cable, no issues; OR is it only certain devices that will work (idunno, depending on transfer speed; having the proper drivers; or summat).
<fx: Hollow laughter>
No, it's it's own thing. You have to have a device that speaks Bluetooth to connect to it with a host that speaks Bluetooth. (You're also likely to need a silver handled knife, an altar, black candles and a goat.)
Honourable exception for RS232 and analogue audio, for which you can obtain devices to Bluetooth-ify it in either direction. (This works because the device speaking serial or audio doesn't have to know anything about what it's connected to and the dongle just appears as another serial/sound device on the host.)
Specifically I would like to connect a Pen display via bluetooth. There isn't a model currently that have this feature so I was wondering whether I could solve this with an aftermarket bluetooth solution.
As answered by grams above.
Also, what's the typical range for these?
Approximately 3/4 of what you need it to be, or impressively lots, depending. A few metres is typical.