1) Not necessarily. It depends whether the front brake sensor tripped the light, or the rear one. You have to inspect the pads to be able to tell. There is one sensor on the left front, and one on the right rear.
2) You don't have to replace the rotors, but it is good practice to do so. It isn't recommended to turn the rotors, as they don't have a lot of meat on them. If the rotor surface finish is good, they are above the minimum thickness that is stamped on them, and you are willing to take a chance on brake noise, you can reuse them. Many of us replace them so as to not have brake noise, and to get the best braking surface/performance.
3) You can't buy BMW parts at NAPA, but you can buy will-fit jobber parts there. Depends what you want. If you are looking for a low-dust pad, many of us are happy with Axxis Deluxe, available on-line from
www.Zeckhausenracing.com, and other sites.
4) You have to replace the pad sensor that tripped the light, it is a one-time use sensor that is now rubbed through. You don't necessarily have to replace the other sensor (if you are doing both axles), but they are cheap and it is common to replace them when you do brakes as they harden with age and heat.
Lots of further info if you do a search on the site.