afaik asus has done some tricks to speed this wlan/bluetooth thing up, and at last they made a WL155 that can indeed only do Bluetooth or WLAN at a time so this is a hardware limitation
the blue led is only for telling the WL155 is switched on, so you can not see if it's bluetooth or wireless is switched on.
but you can see this in the top bar, if there is a antenna thing present wlan is switched on.. if then bluetooth is switched on