The police in Germany have got better things to do than to check whether anyone has removed the jockey wheel or not. Theoretically, and in a very roundabout sort of way, it is true that it is illegal because it constitutes a technical change to a vehicle.
Caravans in Germany are registered in their own right and treated in the same way as any other vehicle. As such, any technical change, and that includes adding or taking off a component which can in any way affect usage on the road, is a change to the type approved condition which needs to be entered into the vehicle log book. Otherwise, if the vehicle looses homologation and consequently also insurance coverage. Without insurance, it would be illegal to use on the road.
On the other hand, I wouldn't take it quite as seriously. Should you be stopped by the police, which is unlikely anyway unless there is other reason to do so, I am sure they would accept your explanation, especially as a tourist. My experience is that the German police are not unreasonable.