What is this pipe component in my gas range connection?
The part in blue is just a nipple from the valve to a reducer for the corrugated pipe connection which is where you want to disconnect the line. Naturally, make sure your gas valve is in the off position, the handle perpendicular to the pipe. 

Many jurisdictions do not allow homeowners to connect/disconnect gas appliances. Check with your gas company for compliance. they may come out and do it for free. They would also check the lines/valves for any leaks.