The blue one's 3x damage attacks are dangerous, yes... but also, they can easily be turned to your advantage, via the damage-converted-to-healing skill. Generally pretty easy to get a full heal from that.
But despite this, the blue one is still the most dangerous... because of her ability to randomly seal off a third of your skills.
However... I actually don't recommend going after her first... or after anyone first. Try taking them all out at the same time, or at least within a few turns of each other.