That blue wire is there to turn on an amp & / or an electric aerial.
If you havent got either of those fitted you dont really need to connect it but make sure you put the little rubber covers back over the terminals as the end of the blue wire from the radio side of the loom will be live when the radio is switched on
Managed to connect up wires and its working, but not installed as didn't have tool to remove nut holding old cage, question though, what is the socket in red on old stereo not present on new, once old cage removed will there be enough space to push cables behind stereo, as seems there mounted to cage
As this is a Vauxhall you will need to connect the blue wires together to supply voltage to the aerial amplifier. The original head unit was designed in such a way it could be switched on without the ignition but you can't with the Pioneer.