The only other question I have is the pieces I have pictured.
Looks like it holds the end of the arbor.
But the metal piece that slides in the clamp slides freely and does not clamp in securely.
Your guess is correct, this piece is to hold the end of the arbor. This addition came with the newer models of the winder. You can also get it separately at Timesavers. You should be able to tighten the holder around the sliding piece using the larger handscrew. The smaller handscrew is to mount the holder to the winder.