It's a wire nut, used to splice two wires together--strip & twist the two ends together and then screw the wire nut down over them to secure the mechanical splice. Because of the two-OT layout and the SE/PP switch, one of the leads for the SE tranny isn't quite long enough to reach the connection lug on the rotary switch. Keith included a wire nut in the kit to splice the lead to an added length of wire going to the switch. Not how I would do it personally--I'd do a solder splice and cover it with heatshrink--but I always build Keith's kits exactly to stock, at least for the first go-around. Seems to work just fine.
It's pretty quiet as is, but the point is well taken as a matter of good lead dress practice. I have to open the amp up again in the next couple of days to clear up the Cut control squeal issue. Should be no problem to just push those heater wires over toward the rectifier tube socket at the back of the chassis and away from the rotary switch wires.