CENTIPEDE integrates experimental evidence with prior information to determine whether a particular genome location is bound by some transcription factor (or other DNA-binding protein). The X matrix includes the experimental evidence, for example the cuts inferred from DNaseI-seq. In the Y matrix you include the prior information, including how well that region matches the TF binding site (from the score obtained from the matching of the TF's PWM to that position), and the conservation of that genomic position (obtained, e.g. from phastCons scores). I think that is what NRSF_Anno[, 5] and NRSF_Anno[, 6] represent. I remember the documentation was a bit confusing but don't have it with me at this moment to check this in more detail.
EDIT
Took a look at the package and this is a quick look at the content of NRSF_Anno:
head(NRSF_Anno)
chrom hg18Start hg18End Strand PWMscore ConsScore TSSdist
1 chr1 90336 90356 - 16.69222 0.03875 31393
2 chr1 141061 141081 + 19.73801 0.18760 82118
3 chr1 236650 236670 - 16.69222 0.02165 120861
4 chr1 398305 398325 + 16.69222 0.29235 40794
5 chr1 571868 571888 - 16.69222 0.10220 40019
6 chr1 676751 676771 + 19.73801 0.05410 64864
As you can see, NRSF_Anno[, 5] is the PWMscore and NRSF_Anno[, 6] is the ConsScore (conservation score). In their paper the authors also used the distance to TSS (TSSdist) in the model.
EDIT 2
A useful source of information regarding CENTIPEDE usage might be this tutorial in github.
NOTE
This is OT but might be useful for others interested in this package. It seems CENTIPEDE cannot be installed in R-3.3.2 anymore:
install.packages("CENTIPEDE", repos="http://R-Forge.R-project.org", type = "source")
Warning in install.packages :
package ‘CENTIPEDE’ is not available (for R version 3.3.2)
I solved this by downloading the software from the SVN repository (from here) and creating an empty file named NAMESPACE in the root of the package. Then the package can be installed properly.