Actually it goeas at the bottom of your radiator. If you look in the bottom opening of your grill you can see the same stuff along the sides, and if you take off the bumper you can really see them. I believe it helps keep H2O from splashing up er something. About 2 months after having my X and done with wheeling one day I found that same peice in the same area that you pointed out.
I pulled it off and its been gone since, doesnt appear to be bad not being in there.
Here is the best photo I could locate, dont mind the yellow and blue arrows, its the red arrow and the side foam thing I talked about is circled on the right side of the pic.
so strange. i had the same problem in april. came out to the truck and found it poking out from the lower engine "skid"
if you remove the "skid" you will see where it goes. attaches to the bottom of the radiator, with the cutouts facing down (to fit the grooves of the "skid"). you will see a strip of tape or glue along the lower leading edge of the radiator to hold it on. it's function is to keep fresh air from the grill from escaping between the radiator and "skid" (better chance for greatest cooling on the rad.), but i dont see a thin strip of foam doing that job all that awesome anyway.
on mine, the glue/tape holding it on didnt do such a great job. and the fact that i had washed out that skid with a garden hose a number of times to remove the mud from wheeling trips probably sped up the process.
it's not hurting anything to leave it off. mine's still up in my bedroom just sittin'.