I'm not sure I understand your question about "what's so special about Blue Devil Weekend?" It's the admitted students' weekend. I'm sure that other schools have similarly high attendance rates for admitted students' weekends because this is the one chance admitted students have to meet a large number of their potential classmates prior to matriculating. I'm sure it's very nice too, as an aside. An MBA is a big investment so this is arguably the best weekend for admitted students to determine if they want to attend Fuqua.
As I'm sure you know, Duke is a private school and not just some North Carolina state school. Appropriately, there are students from all over the country and world there so it's not like it's just Southerners or that there's an overly Southern feel. Also, no one will know better than you in terms of if you'll fit in, which is probably why no one answered you. Go visit and meet some students and see if you feel you fit in.