Not sure what it is, but you can take it off. It seems to be a hose with air in it. So it's not like coolant will spew everywhere.
You should invest in a factory service manual for your car. They sell them on ebay. Very helpful guide for things like this.
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2008 Mercury Sable Premier
2014 Ford Focus Electric
1997 Mercury Grand Marquis GS
1991 BMW 850i E31 M70 V12
Moved On: 2000 Sable LS Premium Duratec