To make a long story short, I always wait for the blue light to turn off in the morning or if it is winter and the car was sitting in a parking lot for a few hours. In my opinion, if you want your powertrain to last, you have to wait for the revs to drop to idle levels.
Here is the long story:
My CrossTrek is now 6 years old and has 179K. No engine or transmission problems whatsoever and I believe that this has a lot to do with waiting for the blue light to turn off (kind of). If the car has been sitting for a long time during the winter, I always wait for the blue light to go off. Keep in mind that warming up the engine also warms up the transmission fluid and that helps a lot with the transmission life. It bothers me too that running the engine on 2K revs to warm it up is just burning gas without producing any valuable work but I use my CrossTrek as a work tool and burning a bit extra gas to keep it running for years to come saves me a lot more money than having to repair a transmission or replace the car early.
Having said that, I believe that the blue light does a bit more than checking the engine temperature. Sometimes, the car is warmed up and ran for a few miles. Then I shut it off for 10-15 minutes and when I start it back up the revs go to 2K again like it needs to warm up. My theory is that it is checking the catalytic converter or manifold temperature and it revs up to bring it to operating temperature. In any case, when this happens, I know that the car engine and transmission are warm enough so I just put it in gear and go.