The blog page itself does not display content you insert into the editor and it just lists the blog entries from the db. The key here is to not have ‘Blog’ as the chosen page template in the Page edit window (below the publish button in the Page attributes section). If you need to use the shortcode, pls use the page template ‘Default Template’ and shortcode above should get displayed.
You will need to drop some widgets into the Page widget area for those widgets to show up. If you want, you can use the unlimited sidebars function too to customize the sidebar for this page alone (pls see documentation for the same). If you still have trouble, pls post me a temp login as a private message here and I will have a look. Thanks