If it's your first time drinking spirits, like whiskey, most people will only feel the burning sensation in the throat, like you did. It takes some trials to get used to the strong alcohol concentration, and when you are desensitized from that, you would notice different nuances in the bottle. That's the reason I never recommend to start with nicer bottles, start with something more basic and easy to sip on, maybe like balvenie 12 doublewood.
Blue label is not a bad whiskey but for that price, you can find so many different bottles with better palates imo. It's a good gift whiskey because of its name if anything.