I was looking at the Weatherlink manual and I see a what appears to be a standard clamp-on ferrite on the data cable.
My guess is that there was some kind of EMC or FCC compliance issue and they had to add it to pass emissions tests.
Unless there was a strange interference issue with the console and the dongle, it is probably just to pass these tests.
On a lot of these plastic encased ferrites, you can pry the latch apart and remove it. I can't tell from the picture if it is one of these or is permanently over-molded onto the cable. In that case I wouldn't try to remove it since it would not be replaceable if there was a problem.
Also, you might disturb neighbor's radio/TV reception (or at least in the 'old' days of TV this was true) if it is removed.
Greg