The side marker comes up on all euro models when your parking lights are dead, as a security measure. The car then temporary uses the side marker until you change the dead parking light. So having the marker light up while the parking light is dead, is perfectly normal.

The bulb change is pretty easy. The space behind the headlight allows an easy replacement, unlike say E60, where you have to at least tilt the headlight or even drop your bumper and take the headlight down, for a simple bulb replacement.

Unfortunately I can't advice about the ebay LEDs, since they are tricky, some might blink continuously or other can come with OBC errors about the parking light. You will probably have to confirm with the seller that the LEDs are error free, or maybe somebody who bought from him can confirm that.