I'm confused...you say you have an 06 X5 that doesn't have the SPORT pkg (non-sport was what you wrote)...but you're asking about and posted a link to the headrest guide for the headrest for sport seats.
What model 06 do you have (the suffix after the X5)? And do you have sport seats, regular seats, or the comfort seats? It DOES matter because depending on which seat you have...the headrest guides are different.
If you do have sport seats...based on the pic you linked...it appears to be held in by compression...note the lever like mechanism on the ECSTuning website pics. And if you pull up the seat/headrest diagrams on one of the online part database sites like realoem.com or bmwfans.info....there is no hardware in the diagrams associated with the headrest guides for either headrest guide types.
EDIT: just looked it up in the online TIS...there's two instructions at the top of the following link...select for the type of seat you have: https://www.newtis.info/tisv2/a/en/e...emove+headrest
{sport seat}
{comfort seat}
