OK, that's the connector, and the right wires in the right holes. The blue red is in 4 where it should be according to one diagram. Maybe the other link (which is easier to read, hence I used it) is for later cars, and I think yours is an earlier one.
There are certainly errors in the circuits I've found, so maybe there's an over simplification of the function of the warning that means it does come on when you disconnect it.
So now we know which diagrams to use, lets dig in!
You need to check two fuses. One is in a 'satellite' fusebox, which probably means a small group of fuses in a separate fuseholder clipped to the side of one of the others. It's a 15A fuse with a green pink wire. It connects to pin 4 of the ABS
modulator. Check there is 12v on this pin with the ignition on. From what I can see it might be clipped to the side of the fusebox in the passenger compartment.
The other fuse is a big fuselink in the underbonnet box. Fuselink 2 which is 40A. This supplies pins 2 and 3 via brown pink wires, and both should have 12v all of the time.
According to the scanned circuits that are for your car they show the blue red wire goes to pin 40 but also pin 26. This is only shown on the instrument pack drawing, not the ABS
one so I'm a little confused. There's a join in the wiring harness to let it do this and maybe that's something to do with the problem. Just check the blue red in the instrument pack is connected to both those pins in the ABS
Last thing to check is the earths. There should be a good connection to ground on pins 1 AND 15 of the ABS
unit. There should also be an earth connection to the body of the unit in the form of a strap.
I know its a lot to do, but it should help trace the problem!