Update:

I replaced the Oil Pressure Sensor (on the oil filter housing) with a brand new BMW sensor and it started putting out the warning more often and sometimes added Check Oil Level when turning the engine off.

The oil and oil filter are recently replaced and I used an original BMW oil filter.

My mechanic connected a manual (analog) oil pressure tester in place of the oil pressure sensor (on the oil filter housing) and after a good run on idling the test says that there is 15 PSI which is good (I believe recommended is around 10 psi on idling)

So long story short - Oil, oil filter and oil pressure sensor (on oil filter housing) are all good and the oil pressure is not low. (around 15 psi on idle)

Are there any other sensors or what could be the problem ? Funnily after doing the oil pressure test and then putting back the sensor it is not (at the moment) complaining about oil pressure.