Ok Here is what I found:
- you always need to create a menu item to the blog of the category containing the article so that the URL is rewritten
- since the com_finder doesn't use the SEBLOD SEF engine you won't be able to set the SEBLOD SEF options to have the url you desire from the com_finder.
- then it seems better to NOT use the com_finder but the seblod search form, with some ajax addons (for the auto completion/suggestions). This way the urls are correctly rewritten the way we want