I can't say that I have noticed that there is one there. However I guess it will do the same job as the Lithium battery on a PC's Motherboard. It will keep the Wii's internal clock and settings powered if there is ever a powercut.
Not to sure but I guess if it does start to run flat you will not notice too many problems unless there is a powercut, and no your VC games won't be lost.
Also I have never know a Lithium battery on my PC's motherboards go flat and some of them are over 8 years old!