It's possible that the problem is your DME. There were issues with DME's generating SES lights that pointed to a O2 sensor issue, even when the O2 sensors were replaced with new ones. The fix is to have your DME updated with the latest software that's available to fix the issue. It looks like you've done just about everything you can to remedy the problem, so the DME might be the actual cause.

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Eric Giles
'04 M3
'07 X5 3.0si
Many others.