Why not just put that on the line in box with the switch ?
Because the wires on the primary side are not long enough to reach where it connects to the control board and that would be extra work.
Found one hanging on the primary wires in an electric furnace last week. Shoddy workmanship.
See... You don't have to secure a cap. Attachment 356661
Lets go, burnin daylight.
You guys got it all wrong. That's either a rescue transformer like a dingy towed behind a boat, so in case the blue smoke comes out of the main transformer, it can take over in an emergency, or it's to power an alarm bell to signal when the furnace quits.