most blue creatures in nature don't have blue pigments, which is actual coloring. their blue color comes from the structure of their feathers, fur, or whatever else it may be. for this one the feathers are structured in a way that absorbs most light wavelengths while reflecting blue wavelengths. so basically this bird is blue for the same reason blue eyes or the skies can be blue: blue wavelength light scattering, and not actual pigmentation.

They cackle. Loudly.