Because a good number of customer service calls come from people who have a device plugged into a dead outlet. The led at least tells you the device is getting power. It can also indicate whether any internal fuses/breakers have tripped. And many manufacturers blink that one led for error codes and such. They have a purpose, and can generally be blocked by any bit of cheap tape.
That doesn't explain why they're blue - which is a much brighter and more intense LED color then green or red.
The craziest one is the subwoofer my parents bought for their home theater - this is a device you would exclusively use in a darkened room while watching movies...and it has a full size eye-searing 3mm LED to indicate "power on" (it's been electrical taped over for about a decade now).
