The entire main quest of Heart of Winter is linked to that short prologue side quest. Aihonen is the hero that, a century ago, killed Icasaracht; the "blue lady" in Easthaven is his old lover who promised him to give the magic sword he used to kill the dragon to his descendants. You agree to help her, she gives you the sword and you bring it to Jhonen, Aihonen's descendant. This apparently meaningless event brings the dragon back to life: before dying, she had prepared some necromantic shenanigans (she removed her children's souls from her eggs and performed some kind of ritual to bring her soul into those eggs in the case of her death), but her plans were ruined by Aihonen: when he killed the dragon, his sword shattered in her heart, preventing the soul from leaving the body. When the blue lady extracts the sword from the corpse of Icasaracht (that lies deep in the lake Lac Dinneshere) to fulfill her promise to her old lover, the necromantic ritual revives Icasaracht bringing her soul into her old eggs.
This stuff is extremely simple and there's nothing too special about it, but god it's so much better than the usual "the world is ending, let's save it from the approaching void" that we get nowadays.
If I remember correctly, the blue lady is also in love with Jhonen, because he remembers her her past lover.
If you complete the quest, when you return to Easthaven to kill Belhifet, Jhonen gives you the Restored Blade of Aihonen (a +1 long sword, +5 "within a dragon’s flight distance of Lac Dinneshere" with some minor bonuses). You can give the blade to the blind dwarf in HoW to get an improved version with better minor bonuses.