No, no. Linking to the theme author’s blog is fine. Many of may favorite theme authors do that and I rarely remove the link.
It’s when you put links there for other reasons that you can get into trouble. For example: one theme author had put links in his theme footers that he sold. With each update release of his themes users got a new link to “BUY! USED! SOMETHING! HERE!”.
Needless to say that was a longtime ago and that author’s themes are not here anymore. ??
Is it allowed to sell an upgradeable version of the theme, where the user can get more features?
Yes. Many theme author’s host a “lite” version of their theme in the WordPress theme repository here. They include a non-obtrusive link in the theme customizer or settings page with “For more features, please see this site” and link to their site. Also the “lite” version is not crippled in anyway. The “pro” upgrade adds additional features if the user wants them.
As long as it’s not intrusive then that is fine. You can direct users to your site for the “premium” or “pro” version.
And is it on to have ads for it in the theme?
No. (Short answers are often best.)
No theme or plugin in the WordPress repo should have ads in them. Note: an ad is not the same as a link to the author’s site. In the settings of a theme it’s fine to have a link. But having an ad isn’t allowed.