The blue stuff simply prevents the screw or nut from loosening easily. The red stuff is "permanent," which means, in practice, that you're pretty well committed. You often can get the thing off, once you've used the red, but it's tough. It dries fast, too, so you don't have much working time. I don't know how it affects torque specs; probably doesn't if you tighten the nut or bolt while the stuff is still wet.
Just remember that neither is supposed to work with stainless steel or aluminum. In reality, the blue works so-so with those metals, but the red really doesn't. You can get a primer which will allow it, though. I haven't tried that yet, however.
By the way. both come in red bottles, which may be the source of the confusion. When we say "blue" or "red," it's the color of the fluid, not the bottle.