It is normal for the paper to be ejected. The blue paper is designed to be fed out of the printer as the first sheet when a new pack of paper is loaded. The paper feeding through the printer is both a way to calibrate the printer's operating conditions and clean the paper rollers.
The blue paper should be kept until the package of paper is used. It normally will only be used when the new paper is initially loaded, but in some cases (paper not feeding properly or colors wrong) it may help to reload the blue paper.