There is an air pump that keeps a low pressure in the gas tank, so that a related sensor can tell if the pressure drops (like when the gas cap is left loose). Since it seems to happen when you remove the cap, the air pump and sensor are also possible causes of the SES light. Either one could be failing, and when you replace the gas cap they could take a while to rebuild the correct pressure (even if the cap is replaced properly)

Reading the codes (and not just clearing them) will point you in the right direction.

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2007 X3 3.0si, 6 MT, Premium, White

Retired:
2008 535i, 6 MT, M Sport, Premium, Space Grey
2003 X5 3.0 Steptronic, Premium, Titanium Silver
2002 325xi 5 MT, Steel Grey
2004 Z4 3.0 Premium, Sport, SMG, Maldives Blue