I had read an article from BMW somewhere on how they did research on the shape, size and angle of the kidney grills to allow for maximum airflow and efficiency. This included everything from wind noise to esthetics. Needless to say I wouldn't change the design or block airflow by installing a mesh! The angle of the grills should deflect any potential rocks flying in. I have never heard of that issue so enjoy your new X5, I wouldn't worry about it...
