Congratulations and Welcome! my mom drives an 02 4.6is, great car!
Anyway, its hard to tell what the Service engine soon light is from without reading the codes....
as for the brakes, the BMW dealer replaces just the pads when the car is under warranty, i'll go ahead and say its totally fine--assuming the rotors are in good shape. I'm not sure if you do brake jobs yourself or not, but a reputable independent shop should be able to help you out in that regard. (PS, my indy told me that BMW uses Zimmerman rotors..just repackaged with a BMW stamp).
Have fun with the X5, and you cant tell us who you bought it from can you?
PS, before someone else tells you, I'm pretty sure we all want to see pictures!