Uranus' atmosphere is made up of hydrogen, helium and methane. The methane in Uranus' upper atmosphere absorbs the red light from the sun but reflects the blue light from the sun back into space. This is why Uranus appear blue.
Both Uranus and Neptune have methane in their atmosphere which absorbs red light, allowing the blue hues to be reflected. Neptune is a lot more of a blue colour than Uranus, but Uranus has more methane in its atmosphere. Its though that other constituents in Neptune enrich its blue colour.
Yes, they probably do. The "blue planets" are Earth, Uranus and Neptune. However, in the case of Uranus and Neptune the blue color is nothing to do with water. It is caused by methane in the atmosphere. Scientists believe Uranus and Neptune probably have water in some form, deep inside them.