Here is a video I did on removing the rear headrests on my 2016 M235i convertible (UK). Feedback is that the mechanism varies quite a lot in terms of the design and stiffness of the retaining mechanism:
apologies for the poor sound quality, and the "it's not particularly difficult to remove." isn't meant to be dismissive - it looks like some versions are extremely difficult to remove and seems to vary a lot by country/year.
For a while, I always had the headrests off and kept them in the boot (trunk) in case they were needed, and made it clear how important it was to make sure they were re-fitted if we had passengers. Trouble is that I share the car plus it's easy to forget to put them on if you have impromptu passengers. In the end, I've decided to leave them in place.