The HP8590 series of spectrum analyzers come with two reference oscillator options AFAIK, regular TCXO and high stability OCXO. You can also connect an external GPSDO, rubidium, atomic or whatever reference you have in your lab, hence the external connection.
All your internal frequencies are derived from the PLL oscillator that locks on the reference input. If you don't connect them, all your frequency measurements will be at the hand of a very inaccurate and unstable, approximately 600MHz oscillator.
The original BNC adaptor is on the left but I used the cable on the right with no problems. As long as it is 50 Ohm (or at that length probably even that doesn't matter) you are ok.
Edit: Looking at the block schematic, the reference PLL controls a 600MHz VCO so I adjusted my post accordingly.