Greer uses various hues of blue throughout the book (love is blue; the protagonist has the blues; he is dressed and frequently surrounded by blue rooms, skies, and seas). What does it signify? Is this a deliberate literary device, or am I reading too much into it?

There is always a certain amount of interpretation added to every literary work, and Greer's is no different. The author's use of various shades of blue throughout the work, however, is intentional and meaningful. Rarely do authors specifically describe clothing or environments if they lend nothing to the overall narrative. In this case, the usage of various shades of blue seems to be indicative of the protagonist's mood, in addition to foreshadowing his journey.
With each place he visits, Arthur Less discovers new sides or "shades" to himself. To Arthur, love is one shade and loss/longing another, each blending together to construct his identity. The use of varying hues in the same color family highlights both the familiarity of what we know and the ability for that knowledge to splinter and morph into something new. Just as there is a dizzying array of hues in the blue color family, as human beings we are all familiar yet beautifully unique.