Changing the filter gives a good opportunity to get a look at what shape the trans is in and a chance to replace a crappy or even improperly installed filter and gasket if it was done before. It's not "necessary" but there are people that will say you don't need to change the oil either. Really nothing wrong with changing the oil only once either, If I remember correctly not that much stays in the torque converter (not like the old days) so the big majority of the oil will be replaced.

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1988 325is (purchased new) sold
2004 X5 3.0 2005 X3 2.5
2008 X5 3.0 (new to me)