The circuitry is quite complicated.

The headlamp switch is not connected directly to the headlamp. It's connected to the Body Control Module (BCM). The BCM is a microprocessor and relays and things behind the fusebox on the end of the dashboard, passenger side. You can see it if you remove the glovebox. The BCM generates the "lights on" signal on the car's computer network.

The computer signal is read by the instrument pack (Main Instrument Unit - MIU) which contains the blue light.

The stalk on the steering column sticks out of a big black box around the steering column. The box is the Column Integration Module (CIM). When you operate the stalk to turn on the main beam, or flash the headlamps, the CIM will generate another signal in the computer network saying "main beam on" or main beam off". This signal is read by the MIU to turn the blue lamp on and off.

That's the switch side. If the blue light is not coming on, I would suspect that the fault lies with the stalk or the CIM. The stalk can be removed by releasing a small hook underneath, just where it enters the CIM.

The lights themselves are switched by another unit, the "Underbonnet Electrical Centre" (UEC) which is the fusebox/microprocessor on the front left hand wing next to the battery. This unit reads the computer messages from the CIM, MIU & BCM and turns on the correct lights.

There is a known fault that the area under the UEC can get wet, The UEC can be unbolted and lifted out of the connectors beneath to check. But I wouldn't go this far before checking the stalk etc.