Entering the country is a privilege

Check your privilege! XD

Sorry, I couldn't resist.
Anyway, yes, a government has the sovereign right to deny foreign citizens the possibility to enter the country, but it needs legal basis to do so. It's not like any random clerk at the visa office can turn you back because they don't like your face.
I don't know what legal justification they used to keep Julien Blanc out, but given the type of people that the UK has let in its territory, I guess it was probably quite unusual.