The knob (HOR = Horizontal) I would assume would be the voltage, as Y is current, X is voltage usually to create such useful graphs.
The kit/preassembled curve tracer appears to be for transistor testing, can you live with the extra time required to do this manually or is this useful?
The transformer you linked to appears nice, the case is plastic and I would assume double insulated (no need for earth plastic, nor introduce earth reference on the secondary side) but of course you have to deal with those 110V leads in a safe manner.
With the transformer (and current limiting resistor) you could make a nice IV curve with just about anything, as long as your devices can withstand 12Vrms, there was another post on the forums about curve tracers ("octopus curve trace" is its nickname) where we made up a few circuits :-)
EDIT: Mine was more or less this:
1k
AC-----/\/\/\------+----o Scope X
|
o
+
DUT
-
o
10 |
0V-+---/\/\/\------+----o Scope Ground
|
+--------------------o Scope Y
12Vrms / 1000 = 12mA (on a resistor), Vpeak = 12 * sqrt(2) = ~17V (so don't run through certain things such as a silicon/shottky diode with low reverse breakdown voltage), adjust as needed. 12mA means the 10R sense resistor will output 120mV maximum, which your scope should easily be adjusted to.
Alexander.