Okay so, I wanted to explain what EXACTLY Blue or Aoi is.
He is what as known as an empathy demon, a demon that feeds of emotions.
These types of demons attach themselves to a specific person.
When they first do so, they don't have a physical form and is seen as the person's 'shadow'.
But, as time goes on and the feed off of the person more, they slowly gain a physical form.
Aoi is the type of empathy demon that feeds off of specific emotions.
Specifically, he feeds off the emotions that come from Grian's trauma (sadness, anger, self-hatred, etc.)
Then, as they grow attached even more to the person, they will reflect these emotions like they're their own.
Like an empath, it really depends on how the person they're feeding off is feeling that day.
An opposite to Aoi's species is the apathy demon, a demon that doesn't feel emotions and sucks the emotion out of the person they're attached too.
An example of this is apathetic xisumavoid or Axe.
(You can find this character on xisumavoid's channel on his April Fools Hermitcraft Episode in S6.)
(Please note that these species are my own creation and not real things (as far as I know).)