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Baya, I once bred two visually black horses together and got a palomino. The dam turned out to be smokey black, thus hiding cream. Both parents were Ee, and both passed on the recessive allele at extension, and the dam passed on her Ccr gene. Your puzzle isn't nearly so astonishing.

You have to learn to look at the complete color test results and not just the color names. In this case, both the sire and the dam are EE, dominant extension, and can only pass on E. The sire is heterozygous at Agouti--Aa, and the dam is homozygous recessive agouti--aa, so your mare had to inherit recessive agouti from her dam and also inherited the recessive allele from her sire, and so is aa, and hence her coat color is black. Her dam is heterozygous for gray--gG, and the mare inherited the recessive gray allele from her dam. Her sire only had the recessive gray allele to pass on. That is why she is a blue roan.