José, there's no problem to post here.
Your understanding is right.
I don't think it should be the real problem since when the signal is floating the module is found as 0x20 but just in case....
I would like to know if you and Gio can make this module work in a breadboard using LEDs in this way:
I think the module is working but there's no enough current to turn the relay ON.
The basic difference between blue and red module is the built-in 3.3 V regulator. Maybe when connected to 3.3V instead 5V the module can send more current to output pins.
Now I found this video showing the red module working, so the problem should not be with this particular model.