For convenience sake let’s say you have 2 identical lasers, one is blue and one is red. And you shine it on lead (so none of the light leaks through) until the lead doesn’t heat up anymore. Would the temperature change at all between the different color lasers. It doesn’t have to be red or blue, it could be microwave or x ray, just different colors is nessisary.
Then, as I understand, both lasers produce beams of the same intensity (photons per area) and with the same cross section area, i.e. the number of emitted photons per unit of time is identical, the blue laser delivers more power than the red one as tobogganablaze already wrote, since blue light (high frequency, short wavelength) photons have higher energy than red light photons (low frequency, long wavelength). And the rest is up to the absorption properties of the material hit by the laser.