What is this thing on my wall? Some sort of alarm?
It is a DSC PowerG Wireless indoor siren.
The batteries are the sole source of power.  It's a good idea to replace them on the expiry date, which we can't see but you should have a look now that you have them in your hand, or six years after the installation date, which we can see in the photo.
The high voltage warning pertains to the strobe light.  There probably is a capacitor on the logic board that you would not enjoy discharging manually. That's why there is an interior cover that allows you access to the batteries.
Here's some gratuitous advice: You probably have other wireless components in your alarm system and ADT expects you to keep track of battery life and replace them.  It's a good idea to open up all the window, door, fire, heat, and other sensors to check the battery installation dates and if you bought the house with this system already installed, to just replace them all regardless.