Protection circuitry for AC/DC converter
The U is a varistor (=MOV). It protects the converter if there's input overvoltage. Such voltages can easily occur as peaks when the input is taken from the mains AC. For the same reason measuring equipment must stand much more than the nominal mains AC voltage. Read as quickly as possible something about CAT ratings of multimeters if the thing is never heard for you.

External MOV is recommended in the datasheet (see the notes). The fuse trips if the MOV gets shorted which can happen in serious cases.