The Blue wire is the remote for the battery. I know on my wiring harness, the remote was blue with and white stripe. The two should be connected. It makes sure that when you kill the battery power to your car that the head unit shuts off too.
Good to know that the wire is needed to pull in the stations.Connect it to the other blue wire lol or else you're going to have fuzzy radio stations. (it's a remote wire)