In short, it is part of the vanitygen package, but not needed if you only generate the keys for own use.
Unless you make use of the -e parameter to encrypt the private key. It was my understanding that you then need to make use of keyconv.exe to decrypt that private key. There however seems to be some problems as I've had several keys where it worked i.e. the decrypted private key but I've also had about 5 keys now where the decrypted private key was shown as invalid when trying to import it into a wallet.
I never actually looked at this decryption of the private key.
This is more or less a security action, I'm not sure how (or even if) this links into the actual vanitygen algoritms.
One thing that i found interesting, and I will look into this a bit further, is that both
vanitygen and keyconf have the -e and -E for password encryption.
None of these programs have a setting for the decryption.
The util.c source code holds a function to decrypt, but I cannot find where a call to this function is actually made.