Sounds to me like the filter o-ring had failed or not sealing correctly. Filter is most likely sitting at the bottom of the pan when cold, then get sucked up into place after it builds pressure (warm). This happened to me when I was using a none BMW filter after my initial filter/fluid change. It only happened when the weather was cold or was parked outside overnight. Thought I needed a new transmission, but when my mechanic dropped the pan, we found the cause - just replaced it with an OE BMW filter and the transmission has been shifting flawlessly for the past 70K!

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2004 X5 3.0i
Born 02/04
Delivered 03/04