you could bring stuff up from the socket technically but its not a great plan. and may cause you other issues and possibly be dangerous as the sockets and lights are probably on different circuits. your better off putting the shelly behind the light instead of behind the switch as you will have everything you need there.
but given that you seem to be inexperienced at dealing with mains power. It is my recommendation that you hire an electrician to fit it for you. i mean no offence but you seem to not know how mains works and if you do something wrong the result could be serious injury and/or death.
also note that whilst i assume your colour choice was arbitrary. if your switch really is on a blue cable (this will very by country but in general) then it may be switching a neutral which is incredibly stupid. if this is the case I would recommend a full electrical inspection.
please don't kill yourself trying to do something you don't understand.