When I lived in Hawaii I had blue marker/turn signal bulbs in my '97 Dakota. Never had a problem anywhere expect on post where the MP's would heckle me over them. Too bad the MP's had no authority and all they could do was give me a slip of paper that said they thought I was a bad boy. My commander would laugh at it and throw it away every time.
By the way for reference, in Hawaii an on duty officer in his personal vehicle (very common) is indicated by a lit blue lamp attached to his/her roof. Blue meant on duty, flashing blue meant pull over. None of them ever cared that my lamps up front were blue. This was even in a time when whites were disliked because of their military presence on the island (pre 9/11).
I say do what you like until you are told you cannot do so. I am SUPPOSED to run a front license plate on my car, hasn't been one since I took the washington plate off right after I bought it. I roll by a satellite police station with frequent shift changes, officer traffic flow. None car, so neither do I. I am going to do the Audi style LED DRL mod and will probably put blue lamps in the corners to cue off the blue car.