If you remove the filter on the rail you need to add an inline filter to replace it. Bmw put a filter there for a reason. You wouldn't remove any other filter on your engine for more performance now would you? Remember, not all inline filters are the same, many lie about their filtering ability and obviously you don't want this new in line filter to be much of a restriction. Buy a good quality in line filter that actually goes down to the correct microns of filtering ability. I forget what the stock one is, I am sure someone can chime in.
Removing the filter and drilling the rail is the old VTT trick they used to charge $400 for 5 minutes of work. They literally charged for this mod. Assfucks. Does it give you a tiny bit more flow? Yes. However if you 'need' this small amount of flow it means you are running your fuel system literally on the ragged edge.
Generally you want to leave at least 10% flow and 10% injector. What I mean is no one who is smart runs their injectors at 100% flow. You leave headroom. This is why every fuel injector calculator online it defaults to 10% headroom. You do the same with your HPFP LPFP etc. This is why the small gain from this mod is kind of meh. Sure do it and add in a quality inline filter but if you need this for your car to run right at WOT you are running way too close to the maximum capacity of the fuel system which in general is considered a very bad idea. You want headroom. You don't run a fuel system so you have zero headroom/capacity. One hiccup in flow and boom you go super lean pop a piston and there goes your engine. Same reason maxing out the stock DI is so dangerous. No one does it because it is asking to pop an engine.
Do the mod, do it right by adding in a inline filter, and then never run your fuel system at the limit. It is asking for trouble.