Why are some of my profile names shown in blue?

If a profile name is shown in blue, this is because you (or someone) has set a password for the profile (Modify > Expert > Misc settings page > 'Password protect this profile from modification or deletion')

Note that (as stated in the option itself), this will only prevent someone modifying or deleting the profile. It will not prevent anyone running the profile.

Only someone with the password can Modify the profile to remove the password. Without the password, the profile cannot be deleted. It is the user's responsibility to remember the password.