In microwavable bowl, microwave blue candy melts and shortening uncovered on Medium (50%) 1 minute, then in 15-second intervals, until melted; stir until smooth. Dip tip of 1 lollipop stick about 1/2 inch into melted blue candy and insert stick into 1 cake ball no more than halfway. Repeat. Return to cookie sheet. Refrigerate 5 minutes. Remove from refrigerator a few at a time. Dip cake balls in melted blue candy; tap off excess. Poke opposite end of stick into foam block. Immediately attach 2 candy straw pieces to top of pop for antennae, holding in place until set. Let stand until set.