Yellow folders are “Groups”, they are not actual folders but references to folders/files. They exist only to organize your project in Xcode. Blue folders are actual folders existent in the file system.
Blue folders give you the benefit of not having to “Add File” everytime something new lands in the folder i.e. an image. However, you should still mostly use groups (aka yellow folders) because it gives you more control on what will be bundled with your app (think of hidden files in the folder/versioning files). Also, sometimes blue folders can mess up your file hierarchy in your bundle, ie. causing the splash screen to malfunction.
There are only a few cases where you would use blue folders, like a “content” folder, where anything in the folder should be packed with the bundle (as Mark Szymczyk commented, images or videos). If you’re not sure, stick with yellow folders.