The piece of plywood you see in the photo is a ways protector. It's nothing more than plywood cut to fit over the ways with a cleat installed at the front and back to hold the plywood in place. It can save your ways should you drop a chuck or faceplate while making a change, which can cause a lot of grief.
I've mounted a dial test indicator in an adapter I made out of scrap for practice with the new carbide tools from Grizzly. You can buy an adapter with a nice magnetic base for about twelve bucks. Mine screws into the T slot in the cross slide and it cost nothing. I've got it set up to measure runout on a piece of drill rod chucked up in a three jaw chuck.
The stepped cylinder on the ways protector is a collet adapter that lets me install the dial test indicator in the spindle of my mill regardless of what collet I'm using. The steps are sized to fit all different sizes of collets. You can buy these too, but I made this one, again for practice.