The performance difference between the coupe and convertible is academic on the public roads where most of us do 98% of our driving. The published naught to 60 mph times in enthusiast magazines are the result of test drivers subjecting test vehicles to a level of abuse to which no sane owner would consider submitting his own car. Road & Track magazine, which recorded a scorching 4.7 second naught to 60 mph time in its initial test of the e46 M3 in 2001, did so by disabling the traction control, revving the engine to 3500 rpm, and side-stepping the clutch. After its round of track tests, the car was sent back to BMW, who likely needed to replace the clutch and God knows what else.
There is more than just a weight differential between the M3 coupe and the M3 CSL. The CSL is tuned to make an additional 22 bhp over the US version (355 bhp vs 333 bhp).
The long and short of it is that each person should buy what he or she wants. If you like driving a performance car out in the open air, get the convertible. If you would rarely or never drop the top, get the coupe.