Andrei,
No, no, you are ABSOLUTELY RIGHT -- on ocassion during the Second Afghan War, the 9th Lancers did wear their full blue uniforms! In fact my own Wargames Foundry version of the unit, raised from Zulu War 17th Lancers, is dressed that way, so that's how they look on my own tabletop. But I don't think they wore those uniforms into battle much, if at all, and I've wanted to raise a new version of the unit for some time. I've been debating between using the Perry Sudan 19th Hussars with improvised lances, and paint them in blue pants and khaki tunics (during the war the 9th Lancers often wore lightweight single-breasted khaki drill jackets cut like Norfolk jackets)... or using the Empress 17th Lancers and trying to either cut in a criss-cross pattern on their tunics to make them look like their quilted double-breasted "Kapok" jackets, or just try to have them painted with some subtle representation of the quilted pattern.
But now, with the Perrys making dismounted versions... I may have to wait and see what else the Brothers have up their sleeves, so to speak. Those bespoke quilted cold-weather jackets look very cool IMHO, and I'd love to see figures actually sculpted that way. Maybe I could use some green stuff on the Empress 17th Lancers to do a more legit conversion job, but that would be a lot of work to replace a unit I already own a fully painted version of. Ah, well, there is a reason the word "Mad" is in my user-name.
Here's a pic of the jacket in question, specifically a surviving example now in the collection of the National Army Museum:
The above pic shows a version that would actually be easier to convert from a Zulu War 17th Lancer, due to its standing collar, but most photos from the time show the jacket with a notched lapel, as seen in this fantastic 1/6th scale version by the legendary Tony Barton
(of AB Figures):
So to sum up, in answer to your question: IMHO there is certainly nothing wrong at all in fielding Second Afghan War 9th Lancers in full blue uniforms... I'd just like to do something different.