Is sqlexp part of every Openedge licence?
If not, is their an other way to grant rights to a specific user?
Yes it is, or at least with every server license. I don't know that I have ever installed OE Studio or PDSOE alone and checked.
sqlexp is great for batch stuff. For interactive use, I much prefer Squirrel (squirrel-sql.sourceforge.net/).
Our customers don't have/need PDSOE or OE Studio, they only have small licenses to run r code (called client networking and shared client networking license i guess)