Yes you should definitey have received a battery holder / power lead with the scope. The lead will plug directly into that socket. I also have an Andrew's Deluxe version GSO dob, it came with the lead too. Give them a call asap if you didn't get it.
Make sure you check that all other components have arrived too, I found a separate small cardboard box inside the main scope box that had the Deluxe "bits and pieces" in it. If you seem to be short on eyepieces, etc, check around to make sure you haven't missed it somehow.
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