Well I read something about a legend of the Masamune and Murasame, where it says that the Masamune is not a blood thirsty sword or something along those lines. Cloud was stabbed, not pierced, and maybe this was the reason why he bled. Supposedly when Sephiroth pulled out the sword she was supposed to bleed, but that didn't happen. So I'm not sure. Maybe it was also because they didn't want to show blood due to it being a rated 'T' game, but then again, in the first FMV of FFVIII they show blood. Also I think in the last FMV of FFVII they do also so I don't know what they reason is for her having no blood.