Blue means compressed; green means encrypted.
This is an example of one of those "come on, it's a tiny, simple feature" requests. Yes, the code to do this isn't particularly complicated, but it adds another element of "Ha ha, I'm going to do something in a way that you will never be able to figure out unless somebody tells you."
We get a lot of these little requests. If we accepted them all, you'd have icons with so many incomprehensible decorations you'd never be able to figure out what all the colors and markers mean.
So the next time you say to yourself, "Windows should change the appearance of X if simple condition Y," imagine what it would be like if we actually did even twenty of those simple things.
As my last example: What does it mean if an item on your Start menu is grey?