I don't know what that hole in the bottom arm is for. Looks like nothing to me. although I am not an expert on actual types of scrollsaws, this looks to me to be a pin blade machine. I never saw one quite like this before. Normally there is a little holder for the pin blade to sit into, but this machine actually looks like the arms are also the holders..judging from the photo's and not having the machine in front of me. Here's how it works. There's a knob on the back, and that is your tension knob. Now I also see a quick tension bar on the top of the upper arm. This is a great feature..usually only expensive machines would give you this nice setup really. You will take that cam action quick tension bar and pull it towards you. Then you will slip blade into the bottom arm and the top arm. Pull back the quick arm. Reach to the knob at the far back and tighten or loosen it..basically, if you put in a blade, pull back first tension bar and blade snaps..you need to loosen knob on back. If you install the blade, pull back the tension and the blade is loose, you tighten knob on back. Too much tension is better than not enough. You should not be able to reasonably push with your finger on the teeth of the blade and have it flex back more than 1/8".
Keep in mind..this machine is not in front of me. That red box on the first arm might not be a quick tension bar..could just be some kinda worthless safety cover. Regardless, the knob on back is your main tension. I can't see if you have speed control or not. If it was mine, I'd ditch the hold down..I know some will say..Safety first..well I feel that hold down is more dangerous than not having it. It gets in your way and anything that is in your way for any tool is a hazard. You want to cut your finger off with this saw, you need to hold your finger with pressure on that blade for I bet a good 20 seconds..you man enough to take the pain that long? I have never had a cut from a scrollsaw that a simple bandaid didn't fix.
The worst thing about this saw is the pin feature. Pins are a weak point that can cause blades to break prematurely. Pins cost more to buy. Pins can't fit into tiny holes.
You can buy a new bellows, lots of people have those, or you can just get an aquarium pump which will do an even better job of blowing dust off as you cut.
I like this guy to get parts from. He's like a johnycnc of the scrollsaw world.
http://www.pozsgaidesigns.com/
Good luck with the saw..it's a great value for a starter saw. Saws like mine have way more features and capabilities, but a saw like that you can do enough with to decide whether you should bother to upgrade or not.