Possibly you have used the wrong size connector for the wire size you have. LED lights typically use quite small wire, too small for the blue connector.
The three most common size connectors and their wire sizes.
- Red AWG 22-16
- Blue AWG 16-14
- Yellow AWG 12-10
Sometimes, in order to get a good fit before crimping, I strip twice the length and fold it over. I use a crimper similar to these.
I like terminals with the heat shrink already on similar to these, in the appropriate size. I would avoid getting the assortment kits, figure out what you think you need and order them in lots of 50-100, much cheaper. I've found the kits don't have enough of what I actually need and I have left overs that I'll never use.
The down side to these is the insulation is slick and if you don't have the crimper placed just right the metal part will slip and ruin the crimp. But, if done correctly, make a much nicer wire end.
Otherwise use the regular insulated kind similar to these.
The best non ratcheting crimpers I have ever had is this pair that was my grandfathers. I have used them for many, many years.
I've been doing this for something like 60 years, there was no such thing as the terminals with heat shrink on them. I'm not recommending any seller or product these links are just for explanation. I have had no problems with quality of suppliers from ebay.