There's probably a mechanism preventing the headrest from being removed completely. This is likely because without the headrests in place, the vehicle does not meet its crash test standards. This is quite common today in new vehicles (at least in the U.S., where we can't be trusted to not put ourselves in harms way and then turn around and sue people for our own doings). See if this video helps you.
EDIT: if that method doesn't work, try the one below. I think the first video will do it for you, as that's how front headrests on other VW models currently on sale work (e.g., Tiguan, Atlas).
EDIT: if that method doesn't work, try the one below. I think the first video will do it for you, as that's how front headrests on other VW models currently on sale work (e.g., Tiguan, Atlas).