I remembered this came up before but couldn't remember what the answer was. Some creative searching, and I came up with
viewtopic.php?t=7538
where the answer was that it is for the XM receiver.
Of course, if you have the factory XM radio and it works, then it must be for something else
I have an 03, and don't have that wire/connector, and it doesn't show up in my 03 wiring diagrams