If it's connected in parallel to the LD, is a filtering capacitor ..... not extremely important, it can work good also without it.
If instead is connected to the IC, it can be for filter away some disturbs in the feedback circuit ..... if the module is operated only with battery and used in some metallic host (like handhelds), it's not too important, it can be ignored, but if you plan to use it with an AC adaptor or in a machine, unshielded, it can cause some instability ..... anyway, indicatively any value from 1nF to 10nF can be used for substitute it, if is really needed.
