I recall receiving three kinds of blue messages when voting:
- Messages indicating the number of votes remaining for that day (or in that proposal at Area 51).
- Messages about voting only answers (but no similar thing exists for questions, see quid's comment). Once or twice I have given a series of votes to answers without voting their questions, and the system has reminded me that I should vote answers, too.
- Sometimes downvoting triggers a message suggesting to leave a comment to explain the vote.
If you have a lengthy discussion in the comments, you also get a notice, but I don't remember if it is blue as well.
I wonder if a list of these blue messages is found in some documentation or a meta.SE thread.