Cool man. Just wanted to be sure you understood that those caps store a huge amount of power. More than enough to either kill you or seriously give you a bad hair day. LOL.
Honestly I'm not certain what that specific connector is for, but I bet if you you cruise over to
www.jonnyguru.com and hit the forum there up there is a specific Corsair rep by the name of Jon Gerow, who was the founder of that site once upon a long time ago, or many other PSU reviewers who are members, who could tell you just offhand exactly what it is for.
It's doubtful that it's a user serviceable problem in any case though unless you are pretty astute with electronics repair and can reflow the connectors solder points if it has to be replaced or if the connection is broken. Would probably help to have a closer shot of the connector from a different angle too.