"What is an MSER, and why do they warp an elliptical region around these regions into a circle for their feature extraction?"

MSER (Maximally Stable Extremal Region) is a high quality detector created by Matas (et al.) (Google it). The detector finds regions of interest by applying a segmentation algorithm based on a watershed algorithm to the image. A key region, as opposed to a key point, has the excellent quality that it is automatically affine covariant - the detector does not have to "construct" this ability. On the contrary the region should be affine normalized before use and this is done by warping an ellipse around the region and normalizing it into a circle.