I cannot find info on a WED9400SBo2.
The following are for a WED9400SB0. It should be a close match if not exactly the same as your unit.

Following are your parts
Parts for Whirlpool WED9400SB0 Dryer - AppliancePartsPros.com

See the attachment for the tech sheet.
I cannot tell if the connector is the lockable type or not from the picture.
Hopefully someone else knows.

In any case it probably will not matter.
If this is the thermal fuse from the blower assembly then it would kill power to the motor.

To kill power to just the heating coil a thermal cut-off (fuse) is used. It is item 47 in the Bulkhead Parts section.

Before checking anything else I would check the power to the unit.
The heater requires the full 240 volts, everything else runs off of 120 volts.
Try flipping the breaker off/on slowly a couple times, sometimes you can loose half the line without actually tripping the breaker.
If this does nothing, check the voltage at the plug
L1 to L2 should be 240 volts
L1 to Neutral and L2 to Neutral, both should be 120 volts.
If OK
Unplug the unit and check the wires at the terminal strip in the machine to make sure none are loose or burned out
If OK
Check the power at the terminal strip.
[COLOR="Blue"]Be careful as 240 volts is lethal !!![/COLOR]