I've had bad experiences with BMW dealers diagnosing problems with my diesel.
It will be well worth your while finding a diesel specialist.

Black smoke is usually caused by over fueling or not enough air.
As you also have a lack of power it does tend to point to a problem with the air supply - and that tends to point to the turbo.
Air leaks would be the first place to check. Where/what did the you're indie check. There are a lot of pipes from the turbo, including th intercooler - all of these would need checking first.
Another problem could be the turbo itself, a sticking waste gate could cause a lack of pressure or the turbo could just be on its way out.
Start by checking all the hoses and connections (i.e. the cheap bits!).

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'02 X5 3.0d, Auto, Topaz Blue