So should I go with a dark blue sand or gravel being that they try to camouflage with the substrate?
I'm with the others, I prefer naturally colored substrates. Even with black, naturally black sand looks a lot better in a tank than artificially colored black gravel.
Cichlids camouflage in the sense that in dim light, or with dark substrate and background they trend darker, bright tank with bright light, substrate, aquascape, etc. they trend lighter. Not a 100% rule, but it's the trend.
It's a different thing than saying they (try to) match color, as in blue in the tank and they turn more blue-- cephalopods do that, cichlids not really.
That said, lighting can bring out, enhance, unnaturally exaggerate, distort, or muddy up colors. Bulbs vary in spectrum and some are better than others at bringing out color without exaggeration or distortion. The right bulb can make everything in the tank look sharper, including plants. Daylight with no lights and varying angles of indirect to direct sunlight really brings out the color in many fish.
Background, substrate, etc. can naturally complement the color of a species without the fish itself changing. So a lot of discus display nice with light substrate and light blue backgrounds, my kapampa gibberosa look good against a dark blue background (I also have some large, tall, rust-ish colored slabs standing in the tank that complement the background and fish), lot of SA fish look good with black background, etc. It's not always that the fish changes color or goes darker or lighter, certain lighting and surroundings can make the same colored fish look better.