I’d keep the headboard white.

I'd paint all 3 blue.

I would paint all the pieces alike. Blue if that is what you decide on.

It really depends on the size of the room and the textiles you plan to use. Can you post pictures?

That may be a difficult color to work with. What color and type of floors do you have? What color are the walls? What are you planning for the bedding? If you painted them all blue, you could use white walls and bedding, with additional colors in your art and lamps.

If it is a suite of furniture, I would paint it all the same.

Just make sure the rest of the room is feeling the same vibe: