Ok I'm going off memory, but that blue connector has wiring for the horn and airbag light. If you'd gotten the hub with the relay for cancelling the airbag light, you'd plug that relay into the blue connector. You can get back into the stock steering wheel and get the power wire for the horn button that will also plug into the blue connector. But that blue connector won't go into the middle of the hub, it doesn't need to. It will stay outside of the hub and be hidden by the plastic piece that slides over the hub.

The single blue wire came with the hub, right? That should be the ground wire for the horn if I'm not mistaken.

The white connector is for cruise control.