Hi Gaius317,
Sorry, I should have also mentioned that axolotls. like us, do have some individualized tastes. So, no, this is not a sign of illness as long as they continue to eat other things. Have you attempted nightcrawlers? I don't think you mentioned anything beyond superworms and bloodworms. With the bloodworms, are those the frozen cubes?
I would suggest trying to find some earthworms in your own backyard, if it is pesticide/fertilizer free. If this is not possible, maybe you could order some online and start your own wormery. This way, you will have some of various sizes to experiment with to see which size your guys prefer.
Sinking salmon pellets are another idea too. They are not as nutritious as nightcrawlers, but I have heard of very few axolotls turning them down. They are Rangen brand and can be found online. PM me and I can give you the info. One thing about the pellets, they can foul your water if not removed promptly.
The link I provided above may give you some ideas too. At the bottom of that page is a link that tells you the nutritional values of the various foods too.