As you've setup the Blog link as a category (rather than using a custom page template) it looks for posts added to the "Blog" category.
You can adjust the page in a couple of ways:
1.) Change it to a Custom Page Template in a page called Blog. Basically, duplicate the index.php file, naming it template_blog.php and add this code to the very top:
Template Name: Blog
2.) Keep it as a category bearing in mind only posts added to the Blog category will show up here. You can also use a plugin such as WP No Category Base to remove the category part of the URL of adjust the category base under Permalink settings (WP Admin > Settings > Permalinks) to acheive this.
Let me know if this needs further clarification.