What is this piece of the window called?
The entire vertical window frame is called the “jamb”. The portion on the jamb that protrudes outward is called the “stop”. 

It appears that this window manufacturer has pre-cut a notch (cutout) in the stop and frame in anticipation of installing a connector for screen, etc. to be applied later. 

The piece that seems to be missing is the “cover plate” that covers this pre-cut cutout.