i dont know how BMW does it, but GPS systems use the sequence of your position to determine your orientation... The 'arrow' is calculated from your speed or postiion 'vector'. There is no way the system will point the correct way until it collects a few positions. The gyro is only used to 'fill in' when passing in tunnels, etc

Make sure the antenna is in 'no worse' a location than the stock location- under metal stuff is not good.