No, not all blennies prefer algae in their diet. Barnacle blennies (genus Acantemblemaria) are plankton eaters, and some, like molly millers will sometimes eat algae but more often prefer meaty foods. Most of the blennies offered in your LFS are often algae eaters.
There are many blennies that do prefer algae and some only eat algae. LMBs, starry blennies, red lip blennies, and bicolor blennies diets are mostly if not all plant related. These get rather large, over 4" long and are active, as LC said, and are not a good option for the health of the animal. They love diatoms but will graze on hair algae, but for them to survive a long happy life they'd need supplemental foods like spirulina flakes or nori (but sometimes there is no guarantee that they will eat them).
There are some blennies in the genus Ecsenius that eat mostly algae and would be a fine addition to your tank because they only get about 2" maximum. One that often shows up in LFS is the tail spot blenny. They will also take meaty foods but will often eat algae, their preferred food. This blenny and those conspecifics in that genus that are similarly sized would be what I'd recommend.
That said, don't count on them to control your algae. There are other ways to do that. The best way that I can think of is to have a fuge with chaeto or caulerpa. Oh, and if you already have a fuge with these alga, by all means try an offering of these to your blenny. If your blenny eats it, then you have a renewable food source