Bear in mind there are 2 different kinds one for pre cat and other part number for post cat.
More re same here
http://www.xoutpost.com/x5-e53-forum/43873-bank-1-a.html
SES/engine light illuminates for various emission based issues including if one of these fails - you then have to find out the code to see if its an o2 sensor and if so which one.
If all well then leave well be - spend money on something more fun !