I had a failing steering pump on my 328 and the steering was only heavy when the RPMs were low. When the RPMs rose, the steering went back to normal. It was never related to one direction or the other. The steering was also significantly heavier, rather than just slightly heavier. I replaced the pump and all was back to normal.

I would agree that it doesn't sound like the pump is failing, although there are probably more ways than one that it could fail. I agree with srmmmm that it sounds like something is binding a little bit.

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2003 X5 3.0i, 150k miles