A cursory search suggests that the mars light in the P2K E units you have with three wires is in fact a dual filament globe, the blue wire being the common (remember, in DCC and RP universes positive is the common, not neutral). It also appears that you might have early models that are not DCC ready with a DCC socket.
If you have an early model I'd suggest watching this video as it may give you some ideas (If it were me I'd just rewire the whole thing, does yours match this?):
https://www.youtube.com/watch?v=wvhAxTQtQTI.
It really will all come down to how you want to wire the models; the circuit board in the E units has the circuitry to mimic the effect of a mars light with the dual filament globe and you could possibly use it if you really wanted but you'd need to make sure that the power it provides to the globes is within capability of the LM's output. Most people would replace the globes (and board) with LEDs.
Rings Mars effect is for doing that mimicry with single LEDs (even the dual), a single LED is what you'd use in this case.
As for which wire to use on the LM, it doesn't matter, besides blue of course you can hook up to any of them because with RP you tell it what colour wire does what.
- Tim