Randy,
That is the receiver dryer. It removes moisture from the compressed air and keeps the air system components free of excess moisture. That unit will purge air along with some moisture when the compressor reaches a preset pressure and shuts off. Some units will slowly shut off the purge cycle and some have a sharper cutoff. That is normal.
After the pressure is built and the compressor shuts down there should be no air leakage after the purge cycle plus some amount of cut off time, say 30 seconds or less. If it is just sitting with the engine off and you hear constant air leakage something is wrong, either a valve that is worn or not seating properly, or a hose or fitting. There is a canister on the top with an Oring seal that contains a desiccant. That could also be a leak source but that is not that likely a source.
If you or anyone is going to work on this unit, all of the air system pressure should be released first using the air purge drain valves for the system for safety reasons.
Later Ed