The 1N4001 diode is included for reverse-power protection. As the linked site says, the diode "protects LD if batteries are inserted the wrong way round".
In normal operation, the diode is reverse biased and will have very little effect on the circuit operation.
But if you accidentally miswired something, or hooked up your power backwards so that you were trying to push current the wrong way through the laser diode, the 1N4001 diode could save the laser from being destroyed (assuming your power source has enough internal resistance that it doesn't just blow up the 1N4001 and the laser).
Laser diodes are generally optimized for efficient light output rather than ability to withstand high reverse voltages, so protection circuits like this are often needed to improve the reliability of laser diode circuits.