I lost all the coolant on my m52 last year, I shut it off as soon as the red light came on and waited. But it was still cooked. It ran fine after, no smoke compression was good. The deck surface of the head didn't warp. But the cam ledges, the surface inside that the cam tray sits on warped. And the cams were all .. uh .. we can say not spinning true inside the engine. So it started putting metal everywhere and after a few days it developed a tapping. And after a few weeks the tapping got very loud and the oil filter is chock full of metal. So I destroyed the head, but because I kept running the car I ended scratching the cylinder walls too.

I would do a compression check, and get the exhaust gas in coolant tank test kit at the parts store. You can get a proper smoke machine for around $80, I'm not sure about the whole cigar thing. Sounds good though. I don't think an air leak would cause your misfire on two cylinders consistently.

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'05 E53 3.0 6mt
'17 F30 340ix 6mt
'96 E36 328is, in progress