I have the same problem but mine is a SD23i (6 speed auto). I posted my problem some time ago under the "All about Z4" thread pg 138 & 139 (sorry don't know how to hyperlink).
I think overall, I have sent in my car 3 to 4 times and each time is a long wait (~ 1 wk) and guess what, after all the checks with BMW Asia and whatever, they told me it's a chracteristic sound of the SD23i from the "free play" when the prop shaft is engaged... because my SD23i is a high torque roadster... I was like HAR? EXCUSE ME? 250NM is high torque??
I almost fell off the chair... I ask them my other car has >650NM but why doesn't it have such noise?? they went eerrmmm...
After trying to solve my problems for the Nth time without much success even after replacing the prop shaft, I told them to forget it... I told them the least they can do is to try to insulate the transmission tunnel and whatever so at least I don't get irritated by the "clunk" sound whenever I decelerate or lift my foot off the guess pedal. Bloody...
And after reading your post, this is the best part... they confidently told me the new N20 engined E89s don't have this problem cos they are on the 8 speed auto...
!!!
Anyway, I try to avoid hearing the sound by driving topless whenever conditions permit or blasting music with roof up. It's been exasperating and the only saving grace is the driving dynamics... Will tahan a bit longer before changing ride...