Is blue light not travelling faster then red light in space?
No it isn't. Oddly enough, it isn't travelling faster than red light in a prism either. Here's an analogy: A little old lady scurries along the pavement at 4mph. A tall young man strides along the pavement at 4mph. When the pavement is clear, that's like space. When the pavement is crowded, that's like a prism. Then the little old lady and the tall young man are both moving at 4mph, but the tall young man has big strides so he spends longer getting round the people in his way. So the little old lady makes better progress. So it looks like she's moving faster.
I just can't understand why light and other massless particles are not traveling at different speeds?
As far as we can tell photons and neutrinos travel at the same speed in space regardless of their energy.
Gravity effects anything with a mass but light has no mass but a black hole, and weak lensing changes the trajectory of light to create more red shifted light more than blue shifted light. That tells me light has mass. Can someone clarify this to me in Laymans terminology? Pictures would be helpful.
Gravity doesn't just affect anything with mass. Light is massless, but gravity affects it. As to why, see what Einstein said in 1920: “Second, this consequence shows that the law of the constancy of the speed of light no longer holds, according to the general theory of relativity, in spaces that have gravitational fields. As a simple geometric consideration shows, the curvature of light rays occurs only in spaces where the speed of light is spatially variable”.
Did you see what he said about light curving because the speed of light is spatially variable? It's rather like the way sonar waves curve in the ocean:
Image from FAS and the US Navy, see course ES310 chapter 20
Also see Professor Ned Wright’s Deflection and Delay of Light article. He says this: “In a very real sense, the delay experienced by light passing a massive object is responsible for the deflection of the light. The figure below shows a bundle of rays passing the Sun at various distances”:
Gif from Ned Wright’s Deflection and Delay of Light
That delay ties in what Einstein said. Which ties in with the Shapiro delay. See the Wikipedia article on that, and note this: "according to the general theory, the speed of a light wave depends on the strength of the gravitational potential along its path". It doesn't matter what the wavelength is, the light curves the same regardless of wavelength.
PS: Ned Wright points out that the deflection of light is twice the Newtonian deflection of light. The latter is based on the deflection of matter, see for example https://arxiv.org/abs/physics/0508030. That ought to tell you that what you usually hear about light and matter "following the curvature of spacetime" is just lies to children.