I would have guessed that it goes to the ECU as a signal for glow plug monitoring. Just a guess, I don't really know where it goes.

 

Oh and I second the glow plug system - it should start very easily without plugging in well below freezing.

 

I guess the fuel bowl based on the wire size and couldn't see any other reason to have that large of wire. If you look at the control wires for the relay that come from the ECU they look pretty close to 18 or 20 awg range, while the blue looks more like 12awg or so. The schematic that I have doesn't even show the fuel bowl heater anyway. So realistically I don't know where it goes, I don't have a blue wire on relay.