"Black Friday" originated because for some retailers it is the day that their accounts for the year become "in the black", that is, positive. There's a convention that positive numbers on accounting statements are written in black ink and negative numbers in red ink. (It's not the only convention. Another is to put negative numbers in parentheses. Accountants don't seem to believe in minus signs like most of the rest of us use.)
"Black and blue" is a commmon English phrase referring to bruises. Like, "The muggers beat him black and blue." While I haven't seen any etymological history, I think it's a safe bet that "Black and blue Friday" is, as you indicate, a joke phrase combining "Black Friday" with "black and blue" bruises. I think that's how almost all English speakers would take it.
Pretty much no, you're unlikely to offend anyone.
I suppose you could end up with an unfortunate faux pas if you used the expression specifically in relation to LGBTQ matters, and if you were saying that it was them who had been "set straight", though it would have to be a really unfortunate phrasing.
If anything, it's just as likely to be used humorously as part of a pro-LGBTQ statement as anything else. In fact it very often is. Too often, just on the "it was funnier the first time" count. I'm pretty sure Navratilova used it jokingly when she came out in 1981. That was over 30 years ago, and it's not like she was the first.
So yeah, if you're actually writing a speech for Pride or something, please try to think of a more original joke.
But "setting straight" when it's you who was "set straight" by them is going to be pretty safe, unless it's said with some sort of sneer.
For all that, if you don't know them well, and it's a short communiqué like an e-mail (notorious for losing nuance), then your edit was perhaps a good idea, just to be completely on the safe side. Still, I wouldn't bother. It's just that in any case where you think something could be misconstrued, then it's always safer to rewrite than not rewrite, especially in short messages, whether you're wondering "is there a chance of this being misconstrued in a way that gives offence" or "is there a chance of this being misconstrued as tomorrow rather than the next Wednesday", or whatever.
Really, the word straight has so many well-known useful senses that those of us who are queer can't really get by with only using it to mean heterosexual, so we generally don't expect straight people to either.
For that matter, if there was one sense in which I would like it to be magically removed from the language, it's that meaning of heterosexual, given that so many of the other senses are positive in relation to an alternative. But since there really isn't any alternative non-pejorative informal term for heterosexuals of similar currency, that's not going to happen any time soon.
Best Answer
There is an interesting question at Is there a word for "bright colored eyes"? that is related.
The answer to that question is that the Farsi expression assumes that everyone has brown eyes.
Coloured" is used because the people who called other people "coloured" were British who, at that time were almost 100% "white". We can therefore understand that "coloured" is a subjective term. These subjective terms are quite common descriptives in languages.
It is not the fact that white people are "colourless", it is the fact that "coloured people have "a distinct and different colour".
The adjective "coloured" was fist used around 1400 to describe the complexion of a person:
Definitions from the OED:
2. With modifying adverb. Having a complexion (of the specified kind).Recorded earliest in well-coloured adj.
This is in current use:
In the mid-17th century, the world was divided into white, coloured, and black:
(The reference to South America was probably because it had a very diverse population: see the 1794 quote in which the distinction between "coloured" and "black" is made.)
The OED notes:
In Britain, "coloured" was the commoner term for Asian, or mixed-race people until the 1960s.
So we have a split in English:
In Britain, at that time. the term Black or Negro would have been used to refer to people of African descent (as in the 1821 quote), and "coloured" was restricted to those from British India or those of mixed race. e.g. A.C. Carmichael titled her 1841 book "Domestic Manners and Social Condition of the White, Coloured and Negro Population of the West Indies" It was not until much later - the late 20th entury, that the UK took up the term "coloured" to include anyone who was not white.