I am interested in having an unsubscribe button in the same page as the newsletter subscription so the users can unsubscribe without ever receiving a e-mail newsletter. Is this something ready out of the box or would I need to extend it?
No, there is not such feature. On subscription, when you send the welcome email or the confirmation email you should always insert the unsubscription link.
It’s rare to have user to unsubscribe from a blog directly, they unsubscribe when they receive a communication.