From my shop manual, it looks like the single conductor cable with the grey connector is a "P&A battery" connection. It connects directly to the battery, through the ignition switch and main fuse. HD sells a mating cable if you want to connect an accessory to it. I'd add another fuse of a smaller value, since the main fuse is a big one.
The other one, 2 conductor with the light blue connector housing is probably the "HFSM Antenna" connector. The "HF" part stands for "hands free." I'm guessing the "SM" part is "security module."