Yeah you do not want to leave that out. It is a small little wire thing with a very small connector. It warns you when the coolant level is low not empty. Low or empty gives the same warning.

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2001 E53 X5 3.0 Auto. Silver Black Build date 10-17-2000 141kmiles

2004 E60 545i Sport 6MT. Black/Black Build Date 6-2004 102k miles