Hmm... I can apparently "use any WordPress.com blog URL" except mine.
Had I not hit that button, I'd have been able to make the decision in the future.
It might be worthwhile to put a warning up by the "Create a Blog Link" process that warns people that, even though it will accept a "link to my blog" instruction, it really doesn't do that and creates one locally instead. Which you cannot get rid of without forever sacrificing your right to the name.
I will live with the "private blog" hassle and hope some future upgrade will allow you to simply empty the blog link field.
Thanks for the quick responses, even if the result is somewhat disappointing.
One other possibility -- can the entire DeHavelle.WordPress.com database record be deleted or set to defaults, so that I can recreate it from scratch? The couple of subscriptions added tonight playing around are trivial.
If all contents were set back to "new entry defaults" that would suit my purposes perfectly.