That's the ejector; helps kick the empty case out to the side. Once a round is chambered it can't be extracted by retracting the bolt. Shoot it, or pick it out or gravity works too.
Subsonics are cooler, IMO, because it's the closest I'll probably get to having a suppressed anything. Shooting 5.56/.223 is loud, shooting regular .22lr is quieter but still need ear pro, and the subsonics are nice and quiet. Something about shooting my "evil" rifle so quietly just appeals to me.
Since this is your first .22, don't expect great accuracy from it unless you shoot the 60 grain aguila rounds. The barrel isn't the right twist to stabilize the bullet at longer ranges. I get a little keyholing from my 16" 1/9 at 50 yards, but it'll shoot ragged holes at 25. Regardless, accuracy is more than good enough for training, informal target shooting and ringing steel.
You won't regret your purchase; unless you only got 1 mag for it!