I'm pretty sure I know what you're talking about and I'm not sure if that is a permanent piece of the caliper or not. But I will reference you to these two links. One is RCZ's how to rebuild thread for the caliper and the other is the parts page for the front caliper.
440 Front Brake :: Brake :: Genuine Nissan Parts :: 370Z Parts (Z34) 2009-2010 :: Nissan Parts, NISMO and Nissan Accessories - Courtesyparts.com
DIY: Sport Brake Caliper Rebuild