Sure, they do. I took mine off after about a month or so. Looks great to me although lots of Ultra owners would argue that....
Remove the front bumper by opening the lock tabs on the fender bolts and remove bolts. Remove small nut at front of fender and take bumper off. Reinstall fender bolts and bend lock tabs back.
yes to 1 and no to 2
Front bumper has locking tabs on the bolts and you should drop the front wheel to bend the tabs and remove the bolts rear one you just remove the bolts
You will have to buy SC bags supports to remove the rails.
Do the ultra front and rear bumpers come off? Also the horizontal saddle bag bars can they come off also?
The rear chrome bumper is not purely decorative - it ties the saddlebag supports to the rear fender on pre-'09 models. Street Glides, Road Glides and Road King Customs use a different part (Part no. 91140-04) to do the same job, but without the chrome rail.
Without the chrome bumper or substitute above, the fender struts will tend to spread away from the fender. If you take off the rear chrome bumper, replace it with the alternate.