Well on most circuits the cap would be conected to the your hot lead (probly the red wire) That is an AC downstep right?
The cap should be there to help handle any spikes and to clean up the power.
I cant quite see the whole asimbly there but it definitly looks as if it's designed to be in series with hot.
Screw taped to boot if this stuff came ot you pre asimbled id say that dangling red line with the should screw quite nicly into it and the return on the other side (or the other end of the hot leading into the circuit.)
I'm saying this becos i dont thank a steper would use such a big cap on it's own....
Arouter moter would... but it would just be wierd in series with hot
Do you think you could give me a better picture of the asibly showing where all the wires are heading
And any open ended red lines.
Thers enough info in that pic for me to guess but not be sure.
If you got a scan of the wiering diagram then i could definitly tell ya for sure.