blue steel isn't a different kind of steel, it is just tool steel that has been tempered to blue after hardening - and you buy it that way in a package saving some steps. it will machine but is a lot less machinable than annealed, as Marc noted above. "Hardening, Tempering and Heat Treatment" is the book for the amateur/home shop type if wanted to learn about it - its a small paperback.
imo hardening and tempering is an important home shop skill applicable to horology as in addition to parts, its how you make your own cutting tools - something used quite a bit if read horology texts etc. Non-horology wise its saved me numerous times over the years, gear cutters, broaches, specialty taps etc