When you upgrade the firmware on your Nokia via USB, you'll discover the blue LED under the d-pad control. In the Control Panel, under "Display" you'll need to enable the LED to see it under OS control.
So far it seems to blink when a new email or a new window is raised, that I can tell from my short experience. Until I poke through the code to see what it's hooked to, I'm curious if anyone here happens to know what it's intended to respond to?