How to adjust this Salesforce formula with IF statement?

To adjust this Salesforce formula with IF Statement -

You can chain IF() in a formula much like you can in code. You just add another IF() in the "then" and/or "else" portions.
We can do things a bit cleaner in code than what I'm about to present, but the equivalent to what you're looking for would be
if(String.isBlank(Stage__c)){
    // then
    return null;
}else{
    if(Stage__c != 'red' && Stage__c != 'blue' && Stage__c != 'green'){
        // then
        return 'Active';
    }else{
        return 'Not Active';
    }
}
Translating to a formula from that is pretty simple
IF(
    ISBLANK(Stage__c),
    /* Then */
    Stage__c,
    IF(
        AND(/* stage checking for red/green/blue */),
        /* Then */
        'Active',
        'Not Active'
    )
)

As always, indenting formulas like they were code helps you keep track of things (it's really easy to get lost in a sea of parenthesis otherwise)