I have the exact same issue with our new X5. Since delivery the steering wheel memory has not functioned properly - the wheel actually moves down instead of up when exiting the vehicle, and does not move back to the position stored in memory when entering.

I also have comfort access and usually don't put the key in the ignition. I just tried it now and turned the car on and off, but it did not correct the problem. Was there anything else that you did to fix this issue? Thx!

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2007 X5 4.8i (PCD Feb 2007)
Monaco Blue/Tobacco/Bamboo, Sport w/ 20" wheels, Running Boards, Premium, Technology, Cold Weather, Heated Rear Seats, Premium Sound, Comfort Seats, Comfort Access, Sirius