I am not too sure about the blue line situation, I can't seem to replicate that in Vegas 6.0. But the pre-render thing is easy enough to explain. As you may already know, an NLE creates a sort of instruction list for creating a video. So it contains a lot of instructions like, play from XX to YY, use effect A to transition from XX and RR into YY and SS. You get the idea. So as long as your processor can keep up with any effects you may have added, everything is smooth. But as you noted, the playback gets rough when too much is going on.
So Vegas "pre-renders" a section by writing a new video file and using the rendered file for that part of the timeline instead of creating it from the source videos. You're asked to select a video format so you can speed up your final render by pre-rendering parts of it. In a sense it is kinda like you are exporting a clip. But in Vegas, a pre-rendered file is a system temp file, so it will be deleted when unneeded. Once a section is pre-rendered, Vegas uses it until you make a change to that section. Then unless you pre-render it again, the preview playback will be rough.
So to sum it up, pre-rendered sections should solve your preview playback problems. And if you save them in the video format you'll use for the final render, it will save some time during the final render. If you make a change to a pre-rendered section, Vegas will delete the video file (after the change is taken off the undo list.)l
I'd also like to mention that video file formats can strongly effect real time reverse playback. In the compression codecs for MP4's (and other formats) there are different kinds of frames interleaved in a pattern. One kind of frame is called a B frame for bi-directional. Most frames in a compressed video reference changes from the previous frame. The B frames improve the ability to playback in reverse, but it does add a bit of size and takes more processor time. Since they are optional, a lot of devices don't use B frames (like cell phones, computer cams, etc.) In those cases, pre-rendering is practically essential for preview video effects.
Good luck on your future editing endeavors.