That's the
WoL connector, it's perfectly normal... basically, if you have the functionality enabled in BIOS you can "wake up" a computer on your LAN by sending a special packet.
You may notice a small LED on your motherboard stays on even when the power is "off", with ATX systems.. the power isn't ever fully off unless you have a switch on the back of the PSU.
Just pull the wire, it'll disconnect, it's an entirely optional feature.
(It's connected to your motherboard.)