Hey bud, yea I have extensive experience with this. I've busted up, ohhh 3 or 4 sets. If you don't want to read this whole rant just look at the quick fixes at the bottom.
The blue head is probably cracked, or the mechanical device attached to it.
SHORT ANSWER:
Basically, the short answer is buy another on eBay. Do not ship it back to Harmonix and wait 2-3 weeks. Find one on eBay with a total shipped for around $65 new or like new / light use at $50 ish. Don't pay $80 + tax in the store.
LONG ANSWER:
Step 1 prep) make sure the set is unplugged from the Xbox :) and CAREFUL you dont jerk the wire that is also plugged into the set for each head.
Step 1) Remove the head from the set by putting your fingers under it, and carefully pulling up on one corner by applying pressure with your fingers on one spot. Remember to be gentle when you pop the last two plugs out as the wire attached to the head is weak and will rip easily. You can see some little rubber plugs, they have some lubricant on them, and will pop out relatively easily once you get the hang of it
Do this for each of the four plugs that hold the head in place. Takes about 2 minutes.
Step 2) Flip the head over while being mindful of the wire. Take a flashlight and shine it on the black plastic disc that makes up the head. You will notice any cracks or serious issues with the integrity of the head.
Step 3) Inspect the mechanical device that has the moving part in it. There are 2 screws placed in plastic holes, and you should check to see if any part of that unit is cracked or moving where it should not.
Step 4) Your basically screwed if anything is wrong with it. What can you do? Buy another set on eBay for parts (always buy a new set as anything used could also have busted heads). Play the new one till one of its heads breaks, and then pop a head off and replace it on one of your sets to make a ready a new one.
Two problems with this: The wire is actually glued into the set. Thats right, there's some rubber cement type substance on the head of each wire for each drum head. The wire heads are so small its really a pain to unplug it without ripping the thing apart. The other problem with this is that each set has 2 types of heads; they aren't all interchangeable.
I know, crazy right? Why would this thing be made in China, have weak plastic screw holes and weak plastic discs on the most important parts? Why wouldn't each head be interchangeable? Why do two of the heads on each set have a long actuator and two have a short one?
If you don't want to contemplate getting shafted by Harmonix and China, you can just buy the stuff on eBay, and in the interim you could try the following:
QUICK FIXES:
Take some very very sticky duct tape and coat the cracks on the back of the head with it. Don't make it too heavy, the head still needs to be light, and dont get the tape in the way of the wire or mechanical device.