They short the center conductor to the shield of a female "RCA" (unbalanced) connector.
You can make one with an RCA plug and a piece of wire (and a soldering iron -- and/or perhaps a crimp tool, as appropriate) if you really want one (or some).
Do you need them? Not as such.
If you needed them, every single ubalanced input on every single component on Earth would be plugged with one... and such is not the case.
They may do something for high-gain inputs (e.g., MM or MC phono, or tape head inputs) on a preamp, integrated amp, or receiver to slightly improve noise levels -- but they're hardly de rigueur. I also wouldn't take for granted that sometimes they might not play well with a specific circuit. I have occasionally encountered weird artifacts when shorting line-level inputs on certain components.