Similar experience in the past. I told them I'll be paying via a bank cashiers check. They required the sales person to go with me to the bank to get the check. If it was a weekend when the bank is closed, then I would have had to wait until the next business day to get the check.
I've tried to use my debit/credit card but they limited to about 8K max. I've story I heard was that about 10 years back, several X5s and 7 series were purchased with cashers check which were all legit. However the cars ended up in China/Hong Kong. Thus they (BMW) started requiring origination of funds and I guess now passports to verify citizenship? I have a cousin that works at a BMW dealer and she had a potential 3 X5 sales that were all flagged (later cancelled) by BMW corporate. In all 3 instances, the buyer was young (in college) and wanted to pay with cash/wire. All 3 the funds originated from China.
EDIT:
One way to avoid the hassle is to just finance it with BMW and just pay it off. I put down 80% of my loan and paid it off on the first payment for my i4. It helped that the interest rate was .99%
