You need relay packs if you retro without the full BMW/Hella kit with self leveling.
Even with BMW ballasts you will get the check lights error. (I did.) I read a post some time ago (20 months or so) relating to reprogramming and the owner had all sorts of "fun" after paying to have his X reprogrammed without the full retro kit fitted. He even had to pay to have it un-programmed but other errors persisted.
If you aim the lights properly you can get away without the self leveling circuits. At least until I market an aftermarket kit anyway. ;>)

US spec halogens do not come with self leveling in the 2000 - 2003 year range. (Somebody with a newer X can feel free to check and correct me.)