If you bought a Dreamcast from China, you might notice there to be a piece of plastic where the modem would be. In fact, it connects to the parallel port, and has a blank pcb with no active components. This device likely acts as a safe 'null' terminator for the G2 expansion bus.
Note: The above is mostly conjecture. For more information and great pictures, please see the following thread: http://dcemulation.org/phpBB/viewtopic.php?f=31&t=97158
The board has the following printed on it:
PC BD TERMINATION 171-7788A 839-1107A