The keys are for the "Taurus Security System". It's a lock that keeps the gun from firing, so you don't have to keep it locked in a case; you can render it inoperable with that key and the built-in lock.
The orange two-sticks is a cylinder plug designed to plug up two of the chambers in the cylinder, effectively rendering your gun a three-shot model, to comply with hunting regulations (if they apply where you live, etc).
The orange disc is included as stock to show that the weapon is unloaded.
The black tube is the "choke" or "thread protector."
The key on the right is used to install the thread protector or "rifled choke". One or the other will be installed in the gun already. The cylinder next to that key is likely the rifled choke, presumably the thread protector is already installed in the barrel.
So, about the "choke" -- the Circuit Judge doesn't use "chokes" as they're normally understood in shotgun land. Instead, the CJ has a rifled barrel suitable for shooting .45 LC's with, and which CAN be used with .410 shotshells, although it will result in the patterns spreading very quickly. If you want tighter patterns and longer usable range out of the CJ, you can install the straight-rifled "choke" in the end of the barrel.
So, your two setups are:
1) "thread protector" -- this has a smoothbore inside. It screws into the end of the barrel and its only real purpose is to keep the threaded inside end of the barrel from getting all fouled up or damaged from bullets and shot and powder, etc.
In this configuration, the CJ is ready for using .45 LC's, and it can also fire shotshells but the patterning will be very wide, very open, very fast.
2) "rifled choke" -- this has straight-walled rifling inside it. Remove the "thread protector" and replace it with the "rifled choke" and now the gun is optimized for .410 shotshells. The patterns are much tighter, and it is much more practical to use as a shotgun in this configuration. However, you should never, ever fire .45 LC's through the gun in this configuration.
It's counter-intuitive; you'd think that the "rifling" would go with the .45LC's, and that the "smooth choke" would be for shotgun use, but it's the opposite. It makes sense if you think about it; most shotguns use smooth barrels, so rifling would be for bullet use, but on the CJ it's backwards; it's a rifled barrel, so you need to use the rifled choke to "straighten out" the shot pattern.
Be aware that the choke threads are "backwards" -- when you go to change the choke or thread protector, it's right-to-loosen, left-to-tighten.