Can anyone tell me what this part of the ignition harness is.

 

I think that's for the ignition key buzzer. Unfortunately, I replaced my own B2200 switch like 25 years ago, so don't quite remember anything more than the assembly was dealer-only back then, cost me $103, and is still working fine. And the tiny "wire nut" retainers for your pictured part are typically available for a few cents each in small drawers at places like Ace Hardware.

I didn't do this on my install - just figured the Mazda wires were a few inches too short for easy access - but have since learned that many remove the instrument cluster and then connect through that opening.