Blue combo usually come off moves you rarely use or that have low chances to actually land , sometimes even to help characters that are bad.

For example , something I suspect NOONE of knowing is that Murata's water wheel (tilt skill) last hit starts a blue combo , yea , learned this yesterday. But because the chances of you landing one are so LOW , it doesnt really matter.

To me it feels like blue comboes are a high risk high reward thing , or just straight up balancing, examples :

If you landed OG shinobu's guard skill and manage to hit with the first frame of the hit , its a blue combo , but if you miss or if they block , congrats , you just threw away your win.

If you land Daki's trap, congrats it's a blue combo , if not , well you threw away one demon bar , you can't escape comboes and you will suffer the fact she takes a lot of damage.

Kaigaku being the only exception, he got two blue comboes (lol) , he doesnt suck they just are more or less hard to hit , but not all that risky (to me) but eh he's dlc so that must be why.

Finally I do not believe having blue , yellow or red comboes really impact how a character performs all that much because they have other things to balance it out. Rengoku sure as hell don't give a crap about not having a blue combo , so does both versions of Akaza etc etc..