Sorry to say, I am waiting for the car... sometime this week (my delivery got pushed back a week... grrr). I am just planning out the things that will be done to it.
Apparently, this feature doesn't involve the key, it involves the ZKE (Zentraler Körper-Elektronik | Central Body Electronics). This is basically the hardware/software that runs all the chassis features of the car (lights, wipers, radio, mirrors, defroster... you get the picture). The big question is if this is a software deal or a hardware deal.
The only thing we really know so far is that a fellow Forum member took euro delivery of their E46 and asked the German dealer to enable this feature for them. Apparently, remote window rollup didn't even show up on the German dealer's MoDic (the diagnostics computer).
If worse comes to worse, perhaps we could get a petition together to get BMW to allow those of us willing to sign waivers of liability to have our dealers activate this feature. I could set it up over the web, anyone interested?