switched mode power supply
Yes, it's not all that clear but basically it's about reduction of EMI generated by the secondary winding. 

Normally, for a 3-pin AC or DC input, this capacitor would connect from the secondary to the earth pin.

The secondary is of course floating but, due to the construction of the transformer, capacitively connects to the primary winding. That primary winding has a clean side (the DC rail) and a dirty side (the side that is switched on and off by the MOSFET in U1). So there is a large, AC, high frequency voltage capacitively coupled to the secondary that raises and lowers the whole of the secondary circuit at high speed.

This will generate EMI on the output wires and the device would fail emission testing. The added capacitor seeks to significantly reduce this effect by shunting this capacitively coupled voltage back to a fairly clean point in the circuit. There is no earth point so the positive supply voltage is used but equally, the negative supply voltage line would also work.