The aux wire let's you adjust esc parameters from the transmitter after you've set up everything within the esc programming. The capacitor is a "glitch buster" and is normally added if a high powered servo is causing brown outs of the receiver. The capacitor needs to be plugged into any open channel on the receiver, while the aux wire must be plugged into the 3rd channel. Odds are, whoever owned the car before you didn't have enough empty slots on their receiver so they combined both onto the same connector.

Basically, extra stuff that isn't required to make your car work. You can leave it disconnected and nothing will happen.