What happens if you use a color other than blue? Seeing as Green and Red appear to generate the correct color, can you try replacing blue with one of these? Also, if you replace Red with blue, does it start showing up as black? If you are able to provide an example of this behavior (sample project) it could help in investigating the issue.
After further testing, it appears that the Blue is being ignored for FLinearColor values inside slate. This has been reported here Unreal Engine Issues and Bug Tracker (UE-40734) . You can track the report’s status as the issue is reviewed by our development staff. Please be aware that this issue may not be prioritized or fixed soon.
This is not a bug and working as intended. This is caused by the FillImage of the default SProgressBar (it isn’t being overridden in the code example above);
In the OnPaint function of SProgressBar it then multiplies all the colors together and because the default fill image color has a 0 blue value it gets ignored.