I'd check it sooner then that for a bunch of reasons:
1. Debris accumulates around the filter (in the housing) such as leaves, dirt, etc. You should vacuum that out.
2. If you notice a stale or musty odor from your A/C system, removing the microfilter and spraying some A/C cleaner in there while the system is running will help kill the mold that causes that smell.
3. It is my understanding that an engine oil service includes a microfilter change (though not the annual oil change per se) as well as the Inspection I and II. Given that since 1999 BMW has officially extended the oil change interval to around 15,000 miles, seems like the microfilter should be changed about ... every 15,000 miles!
4. If you want to keep the inside of your car as clean as possible change it more often, that will help keep the dust level down.
5. My last microfilter change interval was 25,000 miles and the filter was incredibly filthy. I'm going to do 15,000 miles max for next time.
6. At the very least remove it and hit it against the curb or something to shake out as much dirt/dust as you can. Make sure not to reinstall it in reverse though!
7. BMW makes 2 types of filters (a standard one (shown on the left below) and a carbon one (shown on the right below)), make sure to get the carbon one which also removes some odors.
8. It's relatively cheap $30-$40.

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