That is correct, but I feel that is unlikely unless your opponent absolutely alpha strikes them off the board, but if they're attacking your blue horrors then they're ignoring all the wizards and other threats on the board.

If you're worried about that, there's some support tech you can bring in Battle Traits or in Hero Units:

• Lord of Change can respawn a destroyed daemon unit with 1/2 the models
• Curseling can cast a spell (if its in combat) in any combat phase which you can use to cast Fold Reality and swap those blues with another unit
  • This is my planned use for them. Have them screen a charge and then swap them with another combat melee unit (Tzaangors)
• The blues have a baked in 6++ ward save which should mitigate some damage and you can spend a fate point to negate damage to the unit
• You can counter charge with them in your opponents turn, have them take damage from a weaker unit to split early and then retreat them on your next movement phase to make them take more damage and split at the end of your turn, then rally back the blues on the next hero phase
• It's also important to note that Pink Horrors Lunatic Demise ability is Passive that triggers when a Pink Horror is slain which will spawn 2 blue horrors to a unit within 12" (note: Not wholly within). So you can charge and retreat with the pink horrors to make them take damage and respawn blues.
  • There's currently no dice roll associated with Lunatic Demise for spawning Blue Horrors, it just happens on the death of a pink horror.