I have been in the same boat as you for a little over a year now with my 03 325. I started experiencing increasing oil consumption, followed the same procedure as you replacing the various gaskets, ccv, etc...all the usual suspects. All the while documenting the consumption and not seeing any improvement. I, too, noticed blacker than normal exhaust tips...
Stinger is correct, the compression test will likely not help identify the internal source of the consumption. I had a conversation with the shop foreman at my local dealership, with whom I have a very good rapport. First, he explained that a compression test would not likely be beneficial and just be a waste of the money. He also explained that the valve stem seals are an uncommon source of consumption on this engine. He was pretty confident that it is the rings, and went on the say that they are most likely sticking and not allowed to float properly.
Anyway, his suggestion was to use a can of BG MOA every ~3000mi as consumption persists at is current rate. He explained that the MOA was essentially just a little ATF with some other detergent additives and "could" help free up the sticking rings (he also cited personal success with the product). Well, I have been running MOA in my oil for about 3 months now and have seen improvement. My consumption went from 1 qt every ~600-700 miles, to my current rate at 1qt/~1100miles, and it continues to improve. I have been pleased with the results so far, albeit rather preliminary. If I can get to 1qt/1500-2000mi I will be very happy.
I've seen very little mention of MOA on these or any other BMW forums. BMW approves the use of the additive and it is sold at my local dealerships. Once I have full data, I plan to create a thread documenting my results.
In the meantime, might be worth a try...good luck!