finite element method - How to solve a nonlinear coupled PDE with initial and some boundary values

I would like to solve the following nonlinear coupled PDE with a mix of initial conditions and boundary values:

rMax = 0.01;
sol = First@NDSolve[{
Derivative[2, 0][g][r, z] + Derivative[0, 2][g][r, z] == u[r, z]^2,
Derivative[2, 0][u][r, z] + Derivative[0, 1][u][r, z] == -g[r, z],
Derivative[1, 0][u][0, z] == 0.0,
Derivative[1, 0][u][rMax, z] == 0.0,
u[rMax, z] == 0.0,
u[r, 0] == g[r, 0] == Sin[\[Pi] r/rMax],

Derivative[1, 0][g][0, z] == g[rMax, z] == 0.0},
{u, g}, {r, 0, rMax}, {z, 0, 0.01}]

but I receive the following error message (in version 10.0.1.0):

NDSolve::femnonlinear: Nonlinear coefficients are not supported in this version of NDSolve.

The offender is the square term u[r, z]^2 in the first equation; without the square NSolve[] executes without errors. NDSolve seems to apply the FEM method by default to such problems. I'm wondering why NDSolve[] doesn't switch back to another (propagation-type) algorithm? When I add the option Method -> "MethodOfLines", the error message changes to

NDSolve::ivone: Boundary values may only be specified for one independent variable. Initial values may only be specified at one value of the other independent variable.

and I don't quite understand why this is because my time-like variable is z and I'm setting initial conditions only for z=0 and then boundary conditions at r=0 and r=rMax which should be OK?

Any ideas how to solve my problem? Another post suggested calling low-level FEM routines directly, is this a solution? What's the advantage of using FEM on an initial condition/boundary value problem over other methods: speed, accuracy, robustness?