I'm curious how this works and what it does or suppose to do. I have noticed that upon start up the vents put out warm air almost immediately.
The description you're looking for is pages EG-22 to EG-32 of the 2004 New Car Features manual (more info).
Well, my 2004 NCF is the dead tree version, so there's no handy 'share' button on it. But the link shows how to find the online version.
To answer the question directly: It stores a significant volume of coolant, and due to it's excellent insulation, ability to keep that coolant temp elevated, if the car has been driven and then shut down for a few hours, you'll have faster warm-up.
Not bad for reducing an eleven-page explanation with pictures, operation stages, and reasons, into one sentence. I wasn't sure how much the OP had already figured out or hoped to learn about it.
