What are the metallic loops on the sides of a connector for?

The mating half of that connector is designed so that the loops can clip into place and thus you have a connector pair that is more resilient to vibration and general movement i.e. the two halves are held together this way without relying on electrical contact pressure.

They are retention clips to ensure the connector doesn't get yanked out or fall out. If you look at the other header you will see a slot where the clip will fit.

This kind of thing is common in older connectors (though the side screws are more common) that didn't have a internal spring providing the interference fit.