What can be confusing with images in InDesign is that when you look at a graphic in a frame, there are two outlines—the graphic frame that contains the picture, and the graphic itself.
The Red color graphic frame takes its color from the layer you're on in the Layers panel.
The blue link icon is, as Robert points out, an indication that the graphic is NOT embedded, but is LINKED, usually to a placed graphic. The graphic could be stored on your computer, or on an external server. Also, as Robert says, you can see more about the link in the Links panel. If you open the Links panel, you get information about the graphic and where it is linked:
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