It’s the floating part of the anti-backlash nut. It just threads onto the rod, BUT you want the other portion close enough that the spring in-between them has a bit of compression.
If it’s come off, either your Z came down too far (and unthreaded it off the bottom), or the threads on the nut have stripped. If they’ve stripped, you can get a new one by writing to Support.
If the top nut feels snug on the threads of the rod, then it’s fine to run the machine without the other portion.
More details on the anti-backlash nut and installation: