mhh12-
I empathize with your frustrations as you work to get a grasp on DNN development and how to go about updating DNN in a hosted environment -- it's a lot to tackle for the first-time DNN developer. After you overcome the first few major hurdles (getting started) things do get a lot easier and you're able to appreciate the trade-offs between increased development complexity and the increased power DNN offers as a web framework. DNN benefits some web sites greatly but it can be overkill for others. The more dynamic you want your site to be, the more DNN will prove to be a benefit and worth your efforts.
DNN Development
The most common dev method for DNN does not involve creating a site/changes locally and then directly moving files to a web server (that usually only works well the very first time you do it, if at all). Instead, you typically do your code/DB dev on a local copy in the form of modules and then deploy modules to your production copy of DNN (or you can manually update pieces of your "live" DNN instance but I really recommend against it). This is essentially the same practice as creating "deployment packages" as you would in an enterprise development environment (i.e., it's a "best practice"). Your goal should be to create deployment packages such that, given a completely fresh/blank installation of DNN, you can apply your packages and re-create your site as you want it to be (minus actual "content").
About that "Content"...
Regarding deployment of actual page content (text, images, etc), the best way is usually to make changes/additions directly on the live site. This is an area that DNN still needs to improve in since there is no inherent support for content "workflow" (content creation/approval process) or content revisioning without adding a third party module like Engage Publish. Some modules do support the "IPortable" interface to enable downloading/uploading of content (so you could download from a local DNN copy and then upload to your hosted DNN copy). If you're moving a LOT of content then IPortable can be a good option. For small changes, though, it's often as easy to simply cut-and-paste between local and live copies via the DNN interface.
Back to your original question:
You don't have to have SQL Express support/connectivity from your web host because you won't make updates via direct copy/FTP of files. Instead, you package up local DB changes as part of module install scripts or, at the least, in standalone SQL deployment scripts that you can deploy via DB tools (your host likely provides some sort of web-based SQL management tool). You can deploy SQL updates using the interface of your hosted copy of DNN (go to HOST->SQL and use "run as script" option).
Hope that helps a little. Cheers!
-mamlin