That's the hydraulic cylinder that tilts the bucket.
When you go to remove the hose make sure the bucket is flat on the ground. Otherwise the weight of the bucket will put the oil in the cylinder under pressure. Not a dangerous pressure that can puncture skin like when the tractor is running, but potentially enough to shoot a stream of oil across the shop. I did that the last time I replaced hoses.
Have an oil pan ready for the oil that will drip out of the cylinder and the hose. If the hose fittings are 45 degree tapered JIC (very common) then the threads do not get pipe dope. That's only for tapered threads like pipe threads.