There is no misshap.
On the one hand, we (or perceptual psychology) deem red a warm color, probably by learned or ingrained association with fire. And the blue part of a flame is actually hotter, so OP has a point. The very word blue actually stems from a sense shiny, bright.
On the other hand, the watt/lumen ratio of red is higher than blues', I believe, and both are much higher than greens'. Simply put, if lower wavelengths pass less energy, then waves at the same energy but different frequency must have higher attenuation if closer to red. Alas, I'm not sure what velocity means in optics.
This is more illustrative with Music: A bass that you can hear and feel carrying the high tones must have a lot of energy.