Because the theme is responsive, your images will resize (down size) based on the width of the image where the height is relative to that. So if you had an image that was 800×600, and the window reduces by 50%, then your image will resize down to 400 px wide, but the height will be relative to that maintaining proportions, therefore the height will be 300 px.
Your three slideshow images are:
1907 x 497
1907 x 419
1765 x 500
So each of those will respond to the browser window size and this is why you end up with the spaces below showing the background blue because your images are different sizes (the original sizes). You will want to make sure your images are the same size and that your slideshow settings also match that height as well.
IF you want the background blue to be gone, or changed to be white like your image backgrounds are, you can go to Appearance >> Customize >> Header Image, then look for the Showcase background colour option and change it to white.