Heres a quote from Supersprint on the M forums.

Whether you have ethanol added fuel is entirely dependent upon local emissions/ inspection laws. Here in TX emissions requirements actually vary by county, rather than the entire state setting the guidelines. What that means is that it is entirely possible to buy no ethanol fuel in one county, and then up to a 10% ethanol mix in the next county.

In general, at least in TX, the counties that require emissions testing (all of the large metropolitan areas including Dallas/Ft Worth, Austin, Houston, San Antonio) all require the sale of ethanol added fuel. The counties without emissions testing generally do not require the sale of ethanol enriched fuel.

And...to add more fuel (pun intended) to the fire. I did a little test of my own in my M3. My SES light is currently illuminated in my vehicle. The codes thrown are the standard cat deficiency codes that are associated with the on going service bulletin. I have not had the service bulletin performed on the vehicle. I currently commute fairly regularly between two different counties approximately 230 miles apart. One is emissions required (Williamson/Travis, aka Austin) the other is not (Smith, aka Tyler). Any gas I purchase in Austin is ethanol enriched. Certain stations in Tyler continue to sell non-ethanol enriched fuel.

Now for the punch line: When I run gas from Austin (ethanol enriched), SES light on, cat deficiency codes, yadda yadda. BUT, when I run NON-ethanol enriched fuel purchased in Tyler, after approximately half of a tank the SES light magically shuts off. As long as I continue to purchase gas from stations that advertise NON-ethanol enriched fuel, I have no SES light, all is well. The minute I switch back to ethanol enriched fuel, back comes the SES light.

Moral of the story? BMW quite possibly replaced hundreds, possibly thousands, of headers and or 02 sensors for no reason. The real issue is this lovely gas we all are now forced to buy. Oh, and lets not forget the service bulletin and new software expense too.