I was just about to file a bug report on this issue. I'm glad I searched and found this thread first.
I understand why the small text phrases in the second screenshot (Edit Your Whatever) are different: they're links.
But it seems to me the subdivision headings on the Alert Preferences page ("Messages in Threads", etc.) should be in pale blue, to match the headings on the other preference pages. I don't see any functional difference there.
It's a quick tweak that will make for better consistency.