What is this thing?

Anchoring nut? You might be able to reuse from old non-smart TRVs. As they’ve been around from the 70s, there should be an ample supply (somewhere).

Might not fix your issue, but I bought one recently, and realised I’d installed it a little wrong. I couldn’t tighten when the valve was full “closed” (or out as far as it could go), the plastic part you highlighted kept pulling off the TRV. But realised when the valve was open (moveable part inside moved all the way inside the trv) it tightened correctly, and now works great.