yes. Don't have the environment blue on the cam. With FG it uses the enviroment to sample the starting light engergy for the surface of the object. If your not useing FG I don't think it should afect your render like that. FG being one of the settings in Mental ray.

edit: Oh if you really want your background to be blue but you need that soft FG look. you could always have it make a alpha map so you can do a composit in photoshop with a blue background.