On windows the blue color is often because of a system compression of the files…
And about photoshop’s loading you can right-clic, select "open with" then select MaxMSP and tick the box "always choose this software".
But that’s only for windows…
On MacOS, I don’t know about the color blue but to change the default program, type cmd+i (or right click and "get info") on the selected .pat file then "open with", choose MaxMSP et click on "modify all"
thats due to some kind of "prior art"
photoshop hat the extension .pat already in use, when max got to it.
you can either change all .pat files at once within the finder get
(but that will also change your photoshop things associated with that)
or open them with a control click, "open with"
its harmless, but sometimes annoying
(for me the same happens with gimp)