I’ve tried to reduce the clearance.
Change the Snap to Pads to “Always” and “When creating tracks”
Change the Snap to Tracks to “Always” and “When creating tracks”
Interactive Router Settings to “Shove” and “Walkaround”
I also found the blue line unusual.
When I tried it however I also got the blue line.
So it’s probably a little change in KiCad V5.1.7.
Both lines of the pair should connect if you move the mouse to the center of one of the pads.
Maybe the mouse was not close enough to the center of one of the pads?
What happens if you start the differential pair from this side?
Sometimes KiCad can get confused because of clearance issues or other.
If the problem persists, can you post the project here?
Preferably with only the components that are needed for the differential pair, the rest is just a distraction.
This happens all the time and arguably isn’t a bug but expected behavior. You’ve brought your tracks too close to the pads to make the connection while respecting the differential routing geometry. If you back off a ways and start from the pads it should work fine.
I did a quick test, and indeed, if you click very near to the footprint of the endpoint, then sometimes it cannot connect the differential tracks anymore.
Sometimes it’s possible to route from start to finish without clicking for an intermediate track, while at other times this does not work.
In the board below you can not directly route a differential track between the resistors, while if you make an intermediate point, then it does work.
If you put the two resistors (nearly) on the same vertical level, instead of diagonally you can also route a differential track between them without intermediate clicks.
I understand calling this a “bug” or a “nuisance”. I would not call this “expected behaviour”. For me it’s more like too trivial too spend much more time on. I also do not use the differential pair routing much.