I am not sure about the religious significance of the kauda in the khukuri but the one of the practical aspect of kauda provides sort of a hard toothed edge in the blade so that it wont get stuck in the objects which you are trying to cut or chop.
We come from Kshatriya background in Western Nepal and my grandparents have saved bunch of khukuris, khoda, bhala, tarbar and even bows-arrows from our ancestors. It seems like all the khukuries (bigger or smaller), khoda, tarbar have the notch/kauda in them.