My X3 does this. I don't ever remember my E46 3.0i sport doing it so I took it in to the dealer. They claimed it was 'supposed to do that', and because of my disbelief, the service manager got the keys to 5 X3's in the used car area and I tried each of them and they all did it.

Exactly the symptoms you describe, pedal is rock solid until you turn the engine on, then holding the pedal down hard it will gradually sink to the stop. Just had the brake fluid done as its 2 years were up and thought that may have fixed it, but nope. Still doing it.

Must be something peculiar to the SUV's though as like I said, my E46 didn't do it