Deep shadows are often poorly differentiated by the camera sensor, which filters light into three overlapping wavelength bands. Those shadows have less light, and they are deep enough that the sensor doesn't generate a significant difference in response between the three. Shadows should not be saturated in general. People usually only try to apply a tint to them if they want to approximate the look of a specific film base.
Regarding photoshop, you're looking at two separate adjustments. The sky is weighted toward blue. The foreground and trees are weighted toward a purplish color, so still blue with less green. It would take me several layers to get the right transitions and stuff. The saturation is stronger in the brighter midtones than anywhere else, but a single adjustment over any given region may not produce the desired transitions from highlight to shadow.
See this thread
as well. I disagree with many of Tulack's statements, but that strategy is easier than the way I would attempt it.