Arduino BLE HC-08 Module - Connecting... Can't connect. Please retry or choose another device

This should be fine.

You can use the hardware serial ports that are on the Mega, but then you need comment out:

// SoftwareSerial SerialBLE(10, 11); // RX, TX

And use:

Serial1.begin(9600);  // Use Mega Hard Serial1 wired appropriately to your serial device.
Blynk.begin(Serial1, auth);

The Arduino Mega has three additional serial ports: Serial1 on pins 19 (RX) and 18 (TX), Serial2 on pins 17 (RX) and 16 (TX), Serial3 on pins 15 (RX) and 14 (TX).