Not at all. They do it to help Earth geologists recognize rocks on Mars. We usually see rocks in good light here. Either a blue sky like that or an overcast day.
On Mars the sky is of course a dull muddy brown. But that makes the colours on the surface pretty much all the same to human eyes. No matter what type of rock it is, it will look reddish brown. Which is confusing for geologists.
So they do a white balance of the photograph. There is a bit of blue gets through the Martian dust in the atmosphere. So if you white balance it, you increase the amount of blue in the picture, and tone down the red, until the white balance is similar to an Earth landscape.
See akso MarsDial on wikipedia which has more links.
Curiosity worked on its calibration when it first landed. So now the scientists know how to adjust the colours. So they don't have to keep looking at the sundial all the time.
Or they can use "white balanced" colour, which assumes that something in the scene is white. This picture shows all three, original picture, calibrated colour (using the sundial) and white balanced colour.
When you do that, then often the sky goes blue, not surprisingly. Especially with the "White balanced" pictures.
Mars does also get blue sunrises and sunsets, then you just see a patch of blue in the region of the sky towards the setting sun. So pictures of blue sunsets on Mars may show colours as a human eye would see them. But all the other ones with blue skies are colour adjusted.
Mars has a brownish red sky during the day and a blue sunrise and sunset while Earth has a blue sky and red sunrise and sunset.
That's during clear weather on Mars. During dust storms, the Mars sky goes almost black.
This image shows how the sky changes as a dust storm progresses. The first image is a normal daytime sky on Mars.
Also even in clear weather, they get half the levels of sunlight we get on Earth.
You need to watch out for white balanced photos. Sometimes it is very obvious. But sometimes it's more subtle and the information about white balancing gets lost as the image is copied from site to site.
For instance
is not a kind of intense blue. It looks like it might be a real Mars landscape. But - the rocks are clear and easy to see with lots of contrast.The lightest colours in the picture, for instance the highlights on the rocks to the left, are almost white, rather than a muddy brown.
Whenever you see a picture like this, you can be sure that it has been white balanced (or in some way rebalanced to make it easier for humans to see what is in the picture).
The original colours would always look muddy and a bit indistinct to human eyes because the Mars atmosphere filters out most of the blue light from the scene.
There are many white balanced pictures on the web, with the sky in various shades of blue or green, that don't have any information about white balancing attached to them. It is easy to assume that these must be balanced to show the colours as seen on Mars.
You have to go back to the original images in the NASA archives. Those always say if they are white balanced.
Calibrated photos are very rare in the NASA press releases, and if they are included, usually as the second image on the page, with the white balanced image first. That's because it is difficult for geologists to interpret the non white balanced images, because the rocks look so different from Earth rocks, and also all look rather similar to each other when the blue levels are toned right down as they are on Mars landscapes under natural lighting..
White balanced photos, because they assume something in the picture is white, when it isn't, will make the sky various colours depending on the colour of the brightest thing in the picture. So that's why you get quite a variety of colours, sometimes the sky is bright blue. Sometimes just a pale blueish white. Sometimes it is even green. But the original is nearly always this dim brownish red colour.
At sunrise and sunset when you get a blue glow - but the blue glow is localized around the rising or setting sun - you don't get full sky sunsets like we get on Earth.
When there are high clouds on Mars, then you can get this unusual violet purplish sky like this (photographed by Pathfinder):
The simulation there shows a halo on Mars. Don't think any have been observed yet, but they might happen in rare conditions - most likely over polar regions. See Page on copernicus.org . In other places, when you get the rare water ice clouds, you might get Earth like halos. Simulation program HaloSim, and more details here: Halos on other worlds