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JEMC said:
Because the system doesn't care about who is replying, only that your comment has a new reply.

It's the same on the forum side with quotes, if you quote yourself you will get a blue icon.

Except it's a lot rare to quote your own post than it is to reply to your own comment. Replying to your own comment is more like posting in a thread you created than it is to quoting your own post, because replies can a thread-like thing where others can comment.

Not saying it's not stupid to get the blue icon when quoting yourself, of course. It's just less noticeable because it doesn't happen as often.