I have an SD in SE trim with the Dynamic Pack which arrived just before Christmas. These are the reasons I ordered the SE

1) I love the 20" Y Spokes you can get with the SE. I don't like the wheels that come with the M Sport as much.
2) I just don't think the M Sport kit transforms the look of the X5 like it does with say the 3 or the 5 series. I have always had M SPorts on sprevious BMW's I have owned.
3) I honestly think the car looks better and in particular at the side it looks better proportioned with the black sills rather than the body colour items. The painted sills make the car look more bloated to me.
4) Cost. Don't think you get much for it.
5) I prefer high gloss shadowline over the aluminium trim on th M Sport. On most M Sports across the BMW range they are de-chromed don't understand why it's the opposite with the X5.
6) Durability. Won't show up stone chips or London parking scrapes so much.
7) If you order the SE and change your mind you can just get the blck trim painted which I reckon you can get done at a good bodyshop for less than the M Sport costs. It will give you 90% of the look.