I think a BBB link should be a great link for SEO purposes if you can afford it whether or not it is showing up in OSE. Since the price is prohibitive for smaller businesses, it is a good signal that you are a quality site (spam sites rarely have a link from the BBB).
The other benefit is that visitors are more likely to trust your site if you have a BBB badge since it is a trusted brand that has approved your business. This can lead to higher conversion rates because people are more likely to buy from sites that they trust.