No, there's no way to union all the rectangles and have them maintain their original colors.
When you create a union of multiple vectors, you are combining them into a single vector. This single vector can only have one fill color applied to it. That's why the result is all blue.
If you want to treat these objects as a single object but have them maintain their individual colors, put them in a frame.
Yes, you can. You need to group them ⌘G.
After that, you can change it or download it if you need it. Figma materials - https://help.figma.com/hc/en-us/articles/360039832054-Frames-and-Groups