It does happen in any gear. And it was slipping up to 2500 rpm before I let off the gas.

I did discover BMW intentionally allows slipping to warm up the fluid faster. So I checked the transmission fluid temps in BimmerLink and the temp stays at or below 60C. Since the running temp should be above 90C, the fluid doesn't get up to temp to disable the warm-up slipping.

I am guessing the cooler thermostat is stuck open, so I've got a new one on the way.
Until then, I flashed the transmission with xHP and disabled the warm-up procedure. The slipping has improved significantly. Only slipping a little now when starting from a stop, which I think is normal for these cars.