That's just a way of grouping terms that start with the same word. Roquefort is a bleu cheese, but its name does not start with Bleu, so it isn't put under the Bleu alphabetical grouping.
But yes, bleu is a term for the type of cheese. I don't know how you'd generally refer to it in France, but "fromage bleu" does return a good number of hits on google.fr.