Where, exactly, is the blue light coming from?
Sounds as if the pump overrun controller in the boiler is kaput. You need a Gas Safe Registered engineer to carry out the repair.
Can't explain why, with original wiring, the pump continued after heating went off. There will still be a voltage on the orange, but only 50-100V, so it shouldn't be enough to run the pump. The only other source is B terminal on the HW relay, but this should only be live when HW is called.
Incidentally, HW relay B terminal still needs to be connected to LR, as well as wire from valve orange.