CO2 = blue loading nozzle assembly. Most recent KJW M9's have this, but older ones (especially older ones) don't.
The "reinforced" blue loading nozzle looks and feels a little more durable than that from an old-gen (mine does have adjustable hop up, though) KJW M9. Yes, that statement comes from personal experience. Can't say I've tried the blue one though because it's ugly as hell and I don't mind the smell of propane, even in a 15x10 room. I still would be wary of using CO2 in a gun that isn't designed strictly for that purpose, but hey - it's not my gun, lol.