It is a control connection for use when you connect multiple Sony components. JVC has something similar they call compu-link. Onkyo has RI (remote interactive).
I haven't used Sony equipment in years but I can tell you some of the features that Onkyo provides when you use RI - Sony probably does something similar.
If you connect an RI enabled dvd player to a receiver, then when you press play on the dvd player, the receiver will automatically switch to the dvd input. When you turn off the receiver, the dvd player will turn off automatically. If you dim the receiver, the dvd player will dim also (and vice versa). If you use the Onkyo receiver remote and put it in dvd mode, you can aim the remote at the receiver and it will automatically realy the command to the connected dvd player.
These are all just convenience features and are not strictly necessary. All that I have seen simply use a cable with mono 1/8" mini jacks that you can get anywhere, like Radio Shack. It is not a special cable in any way.