The entropy of heart rate variability is one of the main features characterizing the complexity of the cardiovascular system. In order to take into account the multiscale nature of cardiovascular regulation, it was proposed to evaluate entropy with a multiscale approach, based on the estimation of Sample Entropy on progressively coarse-grained series (Multiscale Sample Entropy, MSE). Aim of this work is to investigate two methodological aspects related to MSE of cardiovascular signals. The first aspect regards the tolerance below which a couple of points are considered similar in a given embedding dimension, in particular how the way the tolerance is set at each level of coarse graining influences the MSE estimates. The second aspect regards whether heart rate and blood pressure (BP) signals are characterized by different MSE structures.To investigate these aspects, we analyzed 65 continuous BP recordings of more than 90-minute duration in healthy volunteers sitting at rest, and applied MSE estimators to beat-by-beat series of systolic BP, diastolic BP and pulse interval (inverse of heart rate). Results indicate that the way the tolerance is set during coarse graining influences substantially the MSE profile of cardiovascular signals, modifying the relative level of their unpredictability.