That slot is where the other GMT8xx family SUVs have the controls for the push-button 4WD system, when equipped. On 2WD models of those trucks, and ALL models of Escalade, that space is just an empty slot since the Escalade has an AWD system with no low range gearing.
on the 02 it houses the switch for the power fold mirrors. but as mentioned, id just use for switches just in case you have any, get some abs plastic with some of these billet button switches and it can look clean.
I have two things in there. I have an after market Pioneer F90bt - One is a an adjustable potentiometer to change the level going into the GMOS adapter - If is set it at the GMOS it was either too high where I could hear slight engine whine or too low where I could not crank the stereo. The other in a momentary button to cycle through the volume levels for the onstar... They are out of the way and accessible.