The oxygen-carrying pigment in horseshoe brab blood is a protein called hemocyanin. It is very similar to the hemoglobinmolecule we have in our blood. Hemocyanin contains a copper molecule which results in a blue color. Limulus is an arthropod, a close relative to spiders. In fact more closely related to spiders than to true crabs.
Arthropods possess a semi-closed circulatory system.
We mammals have literally thousands of miles of blood vessels that carry blood to our tissues through vast networks of capillaries. Bacteria entering our bodies through these capillaries are initially limited in the area they can infect, having to fight their way into the body through these narrow channels, all the while in contact with the white blood cells that are our first line of defense. The circulatory system of Limulus is far more open. Large sinuses exist that allow blood direct contact with tissues. There are many wide open spaces and bacteria entering a crack in the shell of a horseshoe crab have easy access to large internal areas of the crab, a potentially deadly scenario.