I seem to recall Car and Driver running an article on this years ago. It's by design in just about every BMW, and probably all German manufacturers due to German laws. Something about manufacturers being responsible for speedos not reading low even if the customer changes the overall tire diameter. So they purposely make the speedo a bit high just in case.

It's certainly been true for the 3 BMW's and 1 MB that I've owned. They've all been about 2-3MPH high.