It's usual for the blue phase to last a few days at least. Sometimes mine can go 1-2 weeks in blue.
As they're active at times of low or no light (dawn, dusk, overnight) in the wild, then yes, using the light could be making him hide away more than you'd normally expect when it's on.
Overheating can also cause them to get a bit antsy, so make sure your heat lamp is controlled and double-check that the temp on the warm side floor isn't getting above 90.
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