[IanCal]

And that classifier is bad at determining who can pay the loan back when looking at the blue group.

Even using a very short term, entirely selfish view this can be bad for the loan company. It becomes clear that blue group people are being denied loans they could well afford, and so people in that group start moving over to other providers.

If the populations of blue groups are geographically clustered, this may mean losing large portions of business in certain areas, resulting in shutting down local offices if there's a physical presence (e.g. banks).

This is also entirely aside from legal concerns.

The best model is rarely found by simply optimising a basic measure with no context.