It is a plug indeed. Yes, any side burner will fit, but sometimes you have to go get adapter parts. If you intend to add a side burner, use the plug to find the correct fitting for the side burner, if necessary.
That is probably a 1/8" NPT and you can buy an adapter to convert it to a 3/8" flare which is what most propane lines use. Then you can connect it to whatever you want. But, I wouldn't pull it out unless you have a use for it, like adding an extra side burner or something like that.