Nope don't get that problem with my '05 Auto. Still sounds like there's something wrong.

Diesels do smoke a little but if you're getting a lot of smoke when cold to me that's worth letting a dealer or diesel specialist have a look at it. Petrol engines will also smoke heavily when cold if a lot of throttle is applied because the mixture should be running somewhat rich until the engine warms up.

What's the fuel economy like?

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Me:
Current: 2011 E71 40D Vermilion Red/Beige Nappa

Wifey:
Current: 2012 R80 Countryman SDX Green/Cream