the yellow orange patches are made of of oil filled cells - of the worm itself. The pigment is a carotenoid pigment (ie of the carotene family - probably a xanthophyll) dissolved in the oil. In adult sabellids the pigment is often some form of astaxanthin (the pigment in salmon, lobsters etc).
I guess the function may be to help the larva orientate itself in relation to light ( in the ocean, brightest direction = "up").