Hi, I'm answering in this thread.
You are right, you have to go via Villach as you've described. The bus is included but you have to buy a supplement (7€). Unfortunately these are very bad connections with almost 2h waiting in Villach. But at least that should leave you enough time to get the reservation for the bus at the counter in Villach Hbf.
Don't get confused by the online train planner, you don't have to change in Jesenice (that's what he want's me to do at the moment
). You have three connections leaving Ljubljana at 077, 0927, 1126, travel time 7h.
Those trains also stop at Lesce Bled (~4km away from Bled); the other station, Bled Jezero also is away from the town center and you can only get to Jesenice from there where you have to wait about an hour for the trains to Villach...so I'd recommend you leave from Lesce Bled.
There also would be a direct night train (that you probably know of already) but the departure in Ljubljana would be at 0230...travel time 4h30 and supplement required.
You could also try to get to the SLO/ITA border at Sezana and catch a bus or taxi over the border to Trieste and continue from there. Can't give you more details on this route, sorry.