I'm here on purpose.
I don't walk, run or fly.
I'm not usually the answer.
I vex the unforgiving once they know me.
I'm not blue or green or yellow.
I'm a ___ _______.
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Red Herring?
I'm here on purpose.
Purposely put in to throw riddlers off
I don't walk, run or fly.
Herrings swim
I'm not usually the answer.
A red herring is usually a decoy, not the answer.
I vex the unforgiving once they know me.
Red herrings usually appear to be the obvious answer and some people get annoyed when it's something different.
I'm not blue or green or yellow.
I'm Red
I'm a ___ _______.
As pointed out by Jon Mark Perry, the number of underscores matches the number of missing letters in each word.