It's some kind of copper compound. Be grateful it is precipitating out in the filter so you can get rid of it.
The core problem with your pool is that you used the pool store method. You "shocked" it three times. You killed off most but not all of the algae, and it rebounded. So you killed off most again. And again. What you want to do is kill it all. Eradicating algae means a fight to the death. You knocked it down but let it get back up. Three times. What you needed to do was knock it down and kick it again and again and again while it's down until you killed it so it couldn't get back up. Ever. We call that a SLAM - Shock Level And Maintain. You were missing the M is all. And then you bought the miracle snake oil.
Scrub what you can off those fingers and recharge the DE and filter some more. Don;t be surprised if it clogs again and again. It'll keep doing that until all the algae is dead and filtered out.