Like Bill said, it could be a small battery for power.
I had another idea, because it is kind of small for any useful power source I know of. It could just be a capacitor to reduce high current draw from a servo from drawing receiver voltage too low.
Here's how to test; get out your multi-meter.
1st) Use voltage setting and measure voltage at plug. It could be dead, but even a fraction of a volt would tell you that it is not a passive device.
2nd) After 1 proves there is no voltage present. Use the ohm setting and check if charge builds across it, proving that it is a capacitor. You will notice that the ohm reading will continue to go up.
Hope that helps.