That blue plug is for the older set with 2028 cd-player and either 2008 or 2007 head unit. The newer and older 2007 have the same face but different back connectors - it that plug doesn't fit anywhere, congrats, you've got a model that's right for the 2040 cd player and silver amp.
Old models had a black amp.

If that plug has no opening for the cable, it could be a cd-delete plug. These radios route their signal through the cd player(or a graphic equalizer), so the delete-plug is just a closed loop inside the plug.

Cable that splits the power from the car loom to both radio and cd looks something like this(in the middle of a rebuild, but you get the picture)