YES! @buddingphotographer is right, that IS a ferrite choke. I actually just got my amateur radio license, and we learned about those in class.
As that looks a lot like an audio cable (maybe a flash cable?)…
I believe—skimming through my textbook here—you’d want to use that if for some reason your signal in the cable was getting interfered with from radio waves. I think you’d probably also want to use it if your cable was emitting something that was getting into a licensed radio operator’s system. I think it’s probably to help ensure the FCC part 15 laws are kept—you know, the fine print in the back of your camera manual “this device must not cause interference, and must accept any interference received”.
I think that’s what it’s for. Maybe the manufacturer had to put it in your kit for some government regulation the consumer never gets to hear about (like the one that used to limit your videos to 29 min 59 sec or 4 GBs).
Just my two cents, and my completely uncertain thoughts on why you might have one in there.