This is what I understand so far...

Here we have a combined schematic / block diagram of the RS device. It's based upon the photos posted in this thread and the description given by its designer. The components shown are the ones that I'm certain of, and the blocks ... well ... I don't know what's in them, but I can guess their functions.
C1 is the main filter element. It is a capacitor placed directly across the power lines. Its value is either 0.47 micro-farads or 0.047 micro-farads.
C2, C3, and C4 are coupling capacitors. Their values seem to be the same as C1. Their function seems to be to resonate with T1, thus providing a "tuned" input for the bridge rectifier RECT1.
LED1 is an off-the-shelf blue Light Emitting Diode, or LED.
R1 is what's called a "bleeder" resistor, in that its sole purpose is to bleed off the charge on C1 whenever the device is unplugged. Its value seems to be 10 mega-ohms.
RECT1 is a bridge rectifier. I don't know if it's a four-diode type used with a two-pole secondary, or a two-diode type used with a split secondary.
T1 is a step-down transformer. I'm assuming a voltage ratio of 10 to 1, thus making the output 12 volts with an input of 120 volts.
The Voltage Controlled Oscillator (VCO) could be designed with a four-layer thyristor, or with a unijunction transistor as the active element. This should be followed by a bipolar or field-effect transistor to drive the LED.
In operation, C1 provides most of the power-line filtering. C2 through C4 and T1 select noise from a band of frequencies and use the energy therein to drive the VCO, which in turn drives the LED.
[OPINION]
In conclusion, I would say that the device works as advertised, although not exactly by the means stated by the manufacturer. C1 does the actual work, while the rest of the components are there to run a pretty flashing light (i.e., a "Gimmick").
For about $20.00 worth of parts, this device will provide some actual noise reduction for the consumer, and a 400% profit for the manufacturer.
[/OPINION]
-Fnord of Dyscordia-
(PS: If anyone can provide clearer pictures of the device, I can provide a better description of how it operates, and a more relevant opinion, as well. -F-)