In Jamaica, the "blue light" on the station canopy, which was fashioned by the signal department using two floodlights, is indeed a holding light. Actually it's an "all aboard light". During the rush hour, it's the train's authority to depart. It is displayed by the usher or manager when all the connections have been accounted for and the train can leave.
I believe blue lights were also used at Shea during the World's Fair, and perhaps other places as well. There are remnants of them in Penn Station, but I don't know if they served a siumilar purpose. Would be interesting for someone to look that one up.
As SRS notes normally, a blue light hung at the fouling point of a track or on the equipment indicates that men are working on or about the train. Thus, the FRA's disatisfaction with the Jamaica Blue lights... They feel that blue should only be used for that safety purpose.
Clem