You want to make darn sure that your spigot is sloped properly cause if not you could end up with a big problem come spring.
Under the gray cap is called a backflow preventor and they're main purpose is to prevent any cross connections that may contaminate your water supply.
In most places it's becoming code to install one, however that doesn't mean it needs to be built into your spigot. There are ones that you can buy that are independant of the spigot and screw onto the hose instead.
I prefer this type because if it's an integral part of your spigot it won't allow your inside water piping to drain in the winter unless the interior piping and faucet is sloped to drain to the outside. And that includes if it's a frost-free spigot. Two years ago I installed a brandy new frost free spigot that had an integral anti-siphon valve. I opened the faucet to allow water to drain and I opened the small knurled nut drain on the interior isolation valve to drain the line before winter hit. Well, in the spring when I turned on the water I had a river running down my wall from a split in the interior portion of the frost free spigot. This happened due to improper slope of the faucet and it didn't totally drain to the exterior.
So, I replaced it with another frost free without a built in anti-siphon valve and just attached the portable anti-siphon valve to the end of my hose instead. Now my spigot and interior water piping drains like it should when winterizing the line and my wall stays nice and dry.
Life is about using the whole box of crayons!