As for the technical part (just looked into your code)
The stripping in general is done via input() before saving records
When your com_wall_created is called the record already has been saved, though,
that is: no further stripping will be done.

So, theoretically (since you know the object id at that stage) your parser could add a blue span around mentions and you could rewrite the now colored object record with your own low level db query :)
But to make things really complete you would need to handle edits, too - otherwise your extra html would be removed again on saving. Yeah ... a rather tricky job that I doubt it's worth it.

Honestly, I have no idea what all this 'blueish' stuff could be good for?

If it's my intention to leave Bryce Alvord a notification because my posting may be of interest for him, the name "Bryce Alvord" just passed my brain, I would add a "@" in front of his name, maybe do a spell check, and that's it. I don't need no blue reminder again that I just mentioned Bryce.

Bryce would receive a notification then - leading him directly to my posting, and once more a blue emphasis of his name wouldn't make much sense, because Bryce knows best that he IS Bryce.

3rd parties? Okay, may be focused that I mentioned Bryce. So what?

Hello, Bryce!

Exactly this , makes it easier to read.

Hey Caroline, are you asking for the original post to have that blue hyperlink look on the '@Profile Name'? Hopefully someone who knows might be able to look/confirm because I won't be near my computer for a couple days. In the post body I believe I have seen that all HTML is stripped down to plain text which means we aren't able to perform any changes to the text when it is displayed after. I will confirm if no one else has a chance.

Hello, Bryce Alvord!
Congratulations on your component.
Is it possible to have the @ and profile name in blue?

Hey William, please see my response to Mike that is two posts below this one. To sum it up, it's not a feature that is compatible with OSSN. Not at the fault of OSSN at all.

Hello, Bryce Albert!

Is it possible in the component when I put @ and the first letter appears all the friends and I can choose to mention it?

Good point about the size of the user base. It's a shame you can't use mention on a username or full name. I think you can only use either, depending on whether you have the above mentioned component "Display Username" installed.

I haven't managed to get a mention to work so I can't make any more suggestions.

Hey there Mike. I had toyed with some prototypes that did work well however, they were on a tiny user base test environment. When implemented on a larger scale it would be clunky and slow because you would have to include a profile pic thumbnail along with the name so that duplicate names could have something that helps differentiate between the two. Using the Display Username component would easily help this problem because duplicate usernames are not allowed in OSSN. The technologies I prototyped along with Z Man and Arsalans help were just not compatible enough for the architecture of OSSN, not at the fault of OSSN, they just weren't a good fit. So long story short, I gave it a good try and desired to do it this way but for several reasons it ultimately is not a possibility.

Is there anyway to make the UI show that the name you are typing after @ is a valid user? Like Facebook and Twitter etc?