Well, that "thing" is a flower. Once the windmill reaches a certain maturity it will bloom each year. It will start in a pod and the pod will open and a whitish/yellow "flower" will emerge. There is a possibility seeds will be produced but you need a male/female close by each other in order for the seeds to germinate.
Removing the pods/flowers will not harm the palm and will in fact conserve growing energy for your palm. Clip the flower stems off at the base when seen each year.
