I'll try to answer the questions...
The blue lights are considered to be romantic, so says my receptionist. The multi-colored lights of North America and Europe are a happy-happy family type of lighting. Don't forget that Christmas in Japan is for couples, not family togetherness. As for blue lights on the subways, I haven't seen any yet but I'll let you know if I spot them around Yokohama and Tokyo.
And yea, Santa is pretty fuckin' creepy there.