It’s a condom (only sort of kidding): They’re just meant to protect the prongs in shipping so they’re less likely to get bent, corrode, etc.
Typically they’re discarded after you start using the device but if it’s something frequently put into storage you could hang onto it.
I actually prefer Mbin, but I found out about the Fediverse after searching for reddit alternatives when I heard about the API bullshit Sp*z was planning.