Pressure safety tanks help absorb added water pressure/thermal expansion. They are also now required by code in many states and counties. The backflow preventer closes the delivery fixtures, water heater, and piping, and stops water from backing up into the public water supply. In a closed system, thermal expansion is a major concern because there is no room for the increase in pressure when water expands.
As water is heated, it expands. Due to the fact that water is not compressible, a rapid increase of pressure in the water heater and throughout the entire plumbing system results. This increase in pressure is known as thermal expansion, occurring every time your water heater heats water. Not having a pressure safety tank could potentially cause water leaks derived from the water pressure.
The water heater safety tank eliminates the thermal expansion problem by controlling maximum pressure, and providing the additional space needed to accommodate the increased volume of water.
Any home improvement store.
As pictured below, the pressure safety tank should go on the cold water side, by the hot water heater.