Orange is Solar damage, represented by the flame icon on the weapon. Purple is Void damage, represented by the purple swirl icon. Blue is Arc damage, represented by the spark looking thing (sorry, I have no idea what it's supposed to be lol). For the most part, only Special and Heavy weapons are able to deal these types of damage. The purpose of these is that some enemies are more susceptible to one type of damage. If an enemy has an overshield, the color of the shield (you'll see after you shoot at it) lets you know which type of damage to use against it. For example, you shoot a Wizard and you see an orange glow around it, that means it is susceptible to Solar damage. Using a Fusion/Sniper/Shotgun/Machine Gun etc. with that damage type will hurt it way more than your primary weapon, which only does Kinetic damage (with a few rare exceptions). I hope that answers your question and was helpful. That's about all there is to know about it, to the best of my knowledge.