When I visit Appearance → Menu, I can add custom links, but not any links I've already created under Links. How can I do this?
You can't add link/blogroll type items to the main navigation - add them as custom links instead.
To be more precise, you could do it, but you would need to write some code that hooked into the menu creation/editing section, present a list of blogroll links in a metabox, allowed you to choose from them, and then added these links to your menu. Seems easier to just add the ones you want as custom links.