The amount of energy in a wave depends on both its wavelength and amplitude.
So a "blue wave" has more energy than a "red wave" if both have the same amplitude (blue has a shorter wavelength, and energy is inversely proportional to wavelength). But you can have a "blue wave" with the same energy as a "red wave" if you increase the amplitude of the "red wave" to compensate for its longer wavelength.
So that means blue has more energy because it pulsates faster, and in spite of this we're less sensitive to it than we are to red, which pulsates slower. It's like our light sensitivity forms some sort of bell curve.
So a "blue wave" has more energy than a "red wave" if both have the same amplitude (blue has a shorter wavelength, and energy is inversely proportional to wavelength). But you can have a "blue wave" with the same energy as a "red wave" if you increase the amplitude of the "red wave" to compensate for its longer wavelength.