As I understand your question, the handbrake holds, but it has enough movement in the brake shoes so that on a hill the vehicle comes up against the park pawl (the ratchet that stops you rolling) before the handbrake sets. I assume you are using the handbrake so that it isn't hard to get the lever back out of park later, when the weight of the vehicle is holding the park pawl in place.
If so, read on. There are typically two adjustment places on this type of handbrake arrangement, one at the cable and the other at the rear parking brake shoes. I have never done it on my X5, but it should be like other vehicles. Your dealer will likely have taken slack out of the cable as it is quicker. You may or may not be able to adjust the shoes tighter, which would cause the handbrake to grab sooner.
If the vehicle is very new, you may want to 'bed' the hand brake shoes in (slowly and carefully)
You may be able to compensate for the problem if, on a steep hill, you put the handbrake on and let the vehicle come up against it, before moving the shift lever to park.
If the handbrake doesn't hold at all, in neutral or otherwise, you likely have a problem with the brake shoes. Take it apart, or have it taken apart, and check the actuation mechanism, the state of the brake shoes, and whether any grease/oil has contaminated the brake shoes.
Good luck
Jeff
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