It is a fruit. It is likely to contain seed. Let it get mature on the cactus and pick it up when it has fallen of.

The seeds is best sown in early spring so the plants get a long summer of light before its first winter. A few cacti seeds can't be saved for a long time and has to be sown at once. Most can be saved for years if you need to. I don't know how it is with melocactus.

/David