Yep, it's a speaker, albeit a small one. It connects to the Dot by way of a couple pairs of spring contacts.

It's not punchy enough for playing music, but it gives Alexa a way to talk back if your other speakers are turned off or disconnected.

The speaker is lightly adhered to this shapely blob of steel, which seems to be a simple weight in the base of the Dot. It's likely designed to keep the device planted, so you can twist the volume ring without accidentally spinning your Dot across the table.