Horus is definitely eccentric, and I am inclined to agree with purplecthulhu's blue theory?

Toffee dog likes the MIB as well - apparently his inner soppiness shines through or is detectable by scent or something;-)

If you wanted to experiment, we could try forcing the MIB to wear blue sometime - that might mean exploring the back of the wardrobe, or trying a dressing gown over his jeans?