The blue margin indicates the extent of the section you are in, meaning that the blue bar runs from the starting line of the section until the last line of the section. If you don't have any sections (started by a double %) then you should have the blue bar since it's all one section. If you have two sections it will appear if you're cursor is in the section and the section is displayed and you hover the mouse over the margin. If the current section is scrolled off the screen, then hovering over the margin will not show blue because the section is not in the viewport. If you click in the viewport, now the current section and displayed section are both visible and you will get a blue margin upon hovering the mouse.
