Is there an explanation behind the hidden blue Exceed/cat?
It's just an easter egg, they seem to appear in every episode. They're no part of the plot in any way.

Source: http://www.fanpop.com/clubs/fairy-tail/answers/show/538421/episode-39-what-thing

Example: http://i.imgur.com/Otr4Kba.png

In earlier episodes they showed a still image of every easter egg animal  in the episode with the relevant at the end of the episode