I've seen it with large drawings and long sessions. It just seems to be a bug. If I get tired of repainting the screen I just exit & restart Pro/E. Then it works correctly for the rest of the day. I'm using WF2 so it's not just a WF4 thing.
I think that it is supposed to turn blue when the value of a driving dimension has been changed so that you know that you need to regenerate the model. At least that is the way works here in WF 4. As far as the dimension or note or whatever turning blue just on a move, I have not seen that.