The xenon lamp only works on normal beam. The full beam is the second set of lamps (closer to the grille) in the headlight unit. The full beam lamps are a higher wattage than the xenons but are just normal lamps, therefore, when engaged they are brighter than the xenons but just give out a normal yellowy light. Which is probably why you notice the blue light fades away (its still there, but just cant be seen on the road).
You wont be able to convert the full beam lamps to xenons, it would involve fitting ignitors and control gear, different relays and would necessitate a complete cutnshut of the wiring loom - plus you wouldnt get the xenon lamps in the type and size reqd.