Its all to do with forward voltages.
If you put a blue and red LED in parallel, only the red will light up. This is because the Red led has a typical Vf of 2.2V while the blue has a Vf around 3.3V. That means in parallel you will only have 2.2V across the blue LED which is not enough to make it light up.
Red and Green have similar Vf's so both tend to light up.