If they do that they would be driving without insurance - as blue lights are an alteration to the vehicle and the usage isn't strictly SDP.
Also the vehicle may fall foul of the vehicle lighting regs as it is not strictly an emergency vehicle defined as "A motor vehicle of any of the following descriptions-
(a) a vehicle used for fire brigade, ambulance or police purposes;"
although you could argue that it is fire brigade purposes, there is case law where ambulance personnel used blues to collect an ambulance and were fined and pointed.
and in the unlikely event you get away with it being "fire brigade purposes" then you'd better be using magnetic lightbars because if you permanently mount them the second you use the car to go to the shops, or to your normal employment, etc you are commiting an offence as they are not fire brigade, ambulance or police purposes - its the fitting that is the offence, even if you never switch them on
It's a notoriously grey area for which you must have a lot of spare cash for legal fees if you get caught up in it.