Lol. Blue menus has been the standard since FF4. That's why FF9 has a "classic" style for the menus, which makes them blue.
Actually. FF3 might have had blue menus, I don't really remember much from it. can't remember if 1 and 2 had blue menus on the original release either. They do in the remakes.
Oh, I forgot. FF8 had grey menus. That explains why it surprised you. Really though, blue is classic.