Blue shard means that it is initializing. In other words, database is launching this segment of the index.
You can click on it to see details:
In the table you can see the estimated percentage of the process:
Speed of this process depends on the various elements: resources, disk performance, available memory, cluster stability, etc.
It happens each time index has been opened, created, or maybe cluster master moved this segment to other node for greater cluster stability. This is called shard relocation and in general it's a normal thing to happen.
It's not normal when it is happening very often.