Well not being an expert in the field i can only offer my opinion.
I would check the play from the front prop to the front wheels. if there is too much then the front diff will be the problem.
looking at realoem (
RealOEM.com * BMW E53 X5 3.0d Final drive (front axle), parts, 4-wheel) there isnt too much detail in there..
Usually (in my experience) there is a certain amount of play in the diffs but shouldn't be excessive. you can open them up and re shim them to take out the back lash but will need to take the diff out first..
If there is a lot of play between the front and rear props then there is an issue with the transfer box. Do a search on here for transfer chain and you will see that it is not unusual to have a slack chain which could cause the noise.
Check all rubber components as a damaged doughnut can also give that thump.