Need help wiring a 3rd Gen Nest E

[Ian10]

I'm about to install a 3rd gen Nest E but I am second guessing my wiring choices. Specifically, the blue wire connected to W/E in the linked image. I'm sure unsure whether I should connect this to W, W2 AUX or * on the Nest. I assume W but I have never swapped out a thermostat before so just want to be sure. 

Just for reference, I have a residential fan coil (FMA4X2400AL) and my current thermostat is a Pro1 T721. 

Thanks so much for your help!

[CoolingWizard]

@Ian10 , Allow me to shed a little light on your wires. The blue wire is linked to your auxiliary heat in your air handler.  Notice the red wire between W2 and W/E.  This W2 is your auxiliary heat and E is your emergency heat. You need to make a decision now. 
Auxiliary heat is called by the thermostat any time your heat hump is not keeping up with the demand inside the house.  The outdoor heat pump can also activate auxiliary heat when it enters defrost mode.  
Emergency heat is the ability for the home owner to activate the electric heating coils in case when the outdoor Heat Pump should fail thus needing repair.  In this way you still have some heat. 
I do not see any spare/unused wires in your picture.  If you live in a very cold part of the country, you would likely lean towards setting the Nest Thermostat for auxiliary heat (blue wire on W2/AUX).  
In the unfortunate event that your outdoor Heat Pump fails, you carefully remove the display and move the blue wire to the programable terminal *. The reattach the display.  You need to define the wire at that time as Emergency Heat when asked. 

I hope this helped you 

AC Cooling Wizard