This is normal behavior. I'm not sure why, but it's like that intentionally
Late answer is late: It's still pretty strange. But if it's intentional, I won't complain (not that I would do so anyway).
edited 5th Jun '14 11:10:20 PM by Kaizerreich
Lost in Space
A while ago, Eddie developed two new systems for the wiki: a repaired custom title system that applies to all articles with a given base name, regardless of namespace; and an auto-disambiguation system that will present a disambiguation page for any title that exists, but not in the namespace that you attempted to use.
A side-effect of these is that any wiki link for which an article exists in any namespace is technically a valid link and is therefore blue. It is intended, if not necessarily completely intuitive.
edited 6th Jun '14 7:14:16 AM by Fighteer
"It's Occam's Shuriken! If the answer is elusive, never rule out ninjas!"
(Please enlighten me if I don't see the point/am doing it wrong)
I wanted to edit a trope page and link the work as usual. By accident I used the namespace Main/ for the work (it should have been Light Novel/), yet in the edit preview the link was blue. Then I searched a bit and it turns out the link is also blue when the page actually does link to Main/ like on Anime & Manga for the entry to No Game No Life which is actually a Main/ right now.
Now I wonder, why is it blue? Shouldn't it be red since it doesn't actually link to the work but an empty namespace that has a bunch of suggestions for the real namepage? I think that it would make editing a bit easier when one is not careful (we're humans) and uses the wrong namespace since Main/ is the standard fill-in for links that aren't namespaced.
On the other hand I did notice that links are only blue if there are actually different namespaces available. If the page doesn't exist in any form (including misspelling) the link is a red link as expected.