In general, blue lights are reserved solely for emergency personnel if they are allowed at all. Most places restrict them further to “police use only”. Being from NH, I’m used to seeing red lights on volunteer firefighters responding to a call.
Ecto-1 is a special case though. It could be argued that they are actually a non-volunteer police special unit, at least for purposes of what lights/sirens are allowed. Their job is not so much to contain a danger like the Fire department, nor deal with casualties like an ambulance. (Those would get them red or red/white.) Their job is to stop a “crime” in progress, detain the perp, and take them to a holding facility. The time-sensitive nature of their work entitles them to have sirens in addition to lights in order to get through traffic faster, but the details of their job make blue a more appropriate colour.
Of course, it being Hollywood, one can assume that they made that argument off-camera, got the appropriate authorization easily and glossed over it with a handwave for the sake of getting the movie back to flashy special effects and one-liners. In reality, many places would restrict them to amber lights if they allowed any at all.