Juat did the HID install on my 05. Kit was obviously from a different company but...I believe the box on the left is the capacitor. My instructions said something about it being necessary.

Quote from the ad:
A special error message canceller Harness is needed for certain higher end types of car to by-pass the computer error message. (no additional cost)
Specially 2003 and newer Dodge, Chrysler, Mercedes-Benz, Jeep will definitely need special digital wire harness to function properly.