I had the same problem a while back and was told to engage parking brake after you turn off the engine as a workaround. I think I read it in some other board how the brake system work in X5. It applies the brakes via a different system (experts on this board will provide the exact term for this, as I am kind of new to this myself) when the engine is running as against when it is not running. You can test it out if you like:

-Start your X
-Release parking brake
-set it to drive
-drive the car for couple of feet
-set it to park
-leave the engine running
-engage parking brake
-open the door, come out of the vehicle and you will hear the system applying the parking brake (it is kind of like the sound of applying the parking brake mechanically)

When you apply the P. brake before turning off the engine, the software is sometimes not able to send the correct command to switch to mechanical system after you turn off the car and hence you get this Yellow light. This is a software glitch which is resolved in the updated version. Since the dealer updated my software, it hasn't happened yet.