I know I can control Val directly and still stay on the Heroic Path by choosing to use my magic on her but not going all the way, but how do I unlock that for the other characters? For example, Sarah's AI can get a little quirky and burn through her mana in the blink of an eye, which makes her a liability for deep dives into the dungeon. Is there a way to control her and others directly without straying off the Heroic Path or is that just a consequence of going down that route?

I believe you either build their trust stat or affection. Hard to remember which since you generally get both if you act reasonably. I'm guessing trust though.

I know affection is the red bubble that pops up over their hearts, so is trust the blue bubble?

Trust is the Blue Bubbles, yes. Honestly, the easiest way to raise characters' Trust is to just grind up a shit ton of gems, and then repeatedly buy the +Trust item in the shop. There's no way to track trust like there is the Affection (how filled in the Heart icon is is the tracker for affection, but just giving 5 of the +Trust item to each party member who is proving annoying under AI control should be enough to get them all under manual direction.)