According to Robert Davis, Mazda's senior vice president for quality, research and development, there's a cool blue 'cold' light instead of a temperature gauge because of consumer psychology: In short, owners are more likely to drive gently—and “not thrash the engine”—if there's a light on than if the temp gauge simply shows cold.
There's a lot of misinformation in question-and-answer sites about revving an engine when cold. For the truth here, look at nearly any vehicle owner's manual; most advise against revving an engine too high when cold, for good reason. The alloy parts of an engine don't fit together in quite the same way until fully warm, and the oil pump has to work especially hard to get oil into the smallest spaces when the oil is thicker.