The blue socket is your onboard GPU outlet. The onboard GPU needs to be selected in your BIOS. Tell us what PC you have if you need help to do this. BIOS settings may be listed under 'Peripherals', 'Onboard Devices' etc. Look for Advanced Settings or similar. You may see the options in order of preference like 'PCIe/iGPU' etc. Change the order to make the onboard GPU 1st.