That little box is an adapter for RS232 communication analysis using a Yocto-RS232. If features two DB9 connectors, one male and one female, connected directly one to the other, which you can easily insert on a serial cable. The RJ12 connector allows you to connect it to a Yocto-RS232 using the RJ12 (6P6C) cable provided, so that the device can passively listen to the RS232 traffic.

With that adapter, your Yocto-RS232 can transcript the detail of RS232 communication, including the direction in which bytes have been sent. The adapter works like a straight cable (passive), it doesn't interfere with RS232 electric signals.