They are there.
To confirm, open Sentinel. Database>USA>Iowa>Clinton>Nationwide>Air Shows and you'll see the US Navy Blue Angels departments (ground and aerial operations).
So if you are scanning the full database, you should hear them as long as you have the Military Service Type enabled on your scanners.
Personally I'd be inclined to create a Favorites Lists including the Blue Angels since it is so easy. That way you could turn off the full database and be more focused on your scanning. A lot of stuff is being scanned with the full database on and you could miss a transmission.