+1 That's the vacuum/boost line that pulls on the diaphragm in your dump valve to open it and release the boost. - Because of the design of the HKS unit (reverse diaphragm) it won't open unless that's attached; the boost actually holds it closed (which is why they are good for high boost applications; there's no spring creep).
Incidentally, that means that the screw you can see DOES NOT adjust the noise or boost pressure (or any other story you may have been told); it's just for adjusting the vacuum required to open the valve, so that if your car has very high vacuum idle it shuts and doesn't let unmetered air in. I read an article by someone from HKS who said that he wished they'd never put it on there because nobody reads the manual, then they fiddle with it and break the unit.