What's this? (ESC Questions..)

[simplechamp]

Those are capacitors on the ESC, not batteries. All ESCs have them, but sometimes they are hidden inside the case (Like Castle MMP and MMM).

The light may just be an on/off indicator, and you turn the ESC on by plugging in the batteries.

As far as the wire sticking out of the + battery lead, I'd say it's for connecting a BEC, but it seems like there should be one for the - lead also.