The Data Connection Library isn't included in Foundation.
But the two features regarding Data Connection Libraries are included in Search Server Express, but not installed (and therefore not activated), by default. Probably because the OOTB functionality that uses them isn't in Foundation.
You can install the feature by executing the following commands in "SharePoint 2010 Management Shell":
That'll make it available on future sites.
You can then enable it on existing sites by executing this command for each:
Enable-SPFeature DataConnectionLibrary -url http://siteurl
Note that using Data Connection Library from Search Server Express in your Foundation Site collections will effectively limit you to running on a single server, as it'll only work on the server with Search Server Express installed