Does anyone know how to remove the air vents (see picture). It look like it can be unscrew but I'm scared to break it.

Every time I drive over a small bump, I hear a rattle which seems to come from the air vent on the driver side.

 

I don't know the answer to that, but I hear exact same rattles from my car and also from a F56S loaner. From the door panels, and also from the rear somewhere. I already had mine fixed (or checked for rattles) for the center dome speaker area.

Maybe you should just let the dealer work on it if you aren't that far away.