This is bugged for my girlfriend. She has the quest but no blue light.
1. Practice "Winds of Autumn"
you have to play this on "Novice", "Skilled" does not count.
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2. Play for the Magistrate
It is the one you borrowed the fluet from. You need to click the blue shining light and it will play a song automaticly.
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3. Play for the Guard Captain
You need to click the blue shining light again and it will play a song automaticly. He is in front of the town hall.
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4. Play for the Constable
You need to click the blue shining light again and it will play a song automaticly. She is inside the town hall.
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4. Play for the Tavern
You need to click the blue shining light again and it will play a song automaticly. It is in front of the fire place.
The same problem is happening to me currently. I'm at the point where I need to approach the guard captain and there's no blue light.