Blue is the amount of health that is REVIVED either through heal spell or if you're a troll fighting at night or underground at the beginning of your turn.

In my game that's a green-coloured number :) So far I hadn't encountered anything blue if we disregard the system in-combat messages.

When placing a spell, if you will hit your own units with it, that appears in blue....but I don't think that's what he's talking about.