The Vorta termination implant was a suicide device implanted by the Founders in the brain stem of every Vorta. If captured, the Vorta was supposed to activate this device in order to prevent the information he or she carried from falling into enemy hands. Though the Founders promised the Vorta that this device brought a painless death, Weyoun 6 found this to be untrue.
Not all Vorta, when captured, have activated their implants; Yelgrun and Keevan both chose not to when captured by Starfleet. Weyoun 6 activated his in an act of self-sacrifice, to prevent the Jem'Hadar from endangering Odo in their attempts to destroy the rebel Vorta. (DS9: "Treachery, Faith and the Great River")
Cardassian physicians Midzour Hetalc and Sekdain Istep speculated that the termination implant also served to send a signal to the Dominion in the event of a Vorta's death. This fear, whether proven or not, led to the decision of the Cardassian forces that would soon found the Thirteenth Order not to kill the Vorta assigned to their ships, but to render them unconscious and then put them into cold storage instead. Whether or not Drs. Hetalc and Istep were correct is unknown at this time. (Star Trek: Sigils and Unions--"Let He Who Has Eyes See," The Thirteenth Order)