Tried the glovebox slot, nothing at all. I'm going to head to the dealership and have them rectify it.

This ABSOLUTELY can be addressed. You just need a dealer level computer to first see what key number the new key is, make sure it's activated, and that the two keys you have are the only two keys active. With an Autologic, it's pretty simple. But since the OP just bought the car from a dealer, it would make sense that they might do this programming without charge. It will take at most 10 minutes. I just went through this exact situation with my E70. The one key that came with the car, and the new one I had to order, now both work perfectly with comfort access.

I found the glovebox gadget - that I hadn't noticed before - and I have three keys from the dealer. Their explanation was that one of the keys was missing and replaced, then the missing key was found. All three were turned over.

It can be rectified before the key has been introduced to the car. Highly doubt it could be rectified now by dealer techs with a dealer level equipment. The problem is that the first time you put a new key in the slot it registers in the car (CAS). If there is an empty position for CA (0 or 1 registered already), it will register as CA. If both positions for CA keys are already taken the key may not register and will wait for a manual input. In rare cases CA key will register as a regular key. With my equipment I can change the status and position of the key, but I am pretty sure this cause will be lost at the dealer.
You cannot change the status of already registered key with autologic too. It has no authorisation to read or change the CAS eeprom. Autologic has had a great abilities a few years ago, but after many lawsuits and dropping many brands they dont do "backdoor access" anymore.

I bought my E70 about a month ago. It came with only one key. The new key I got from BMW did not work with comfort access. I WAS able to disable all keys not in my possession, activate the new key, and now both work with CA. I just did this with an Autologic, so I know this is possible. I don't know where you get your info on what you can and can not do with the Autologic. It gives you complete control over activating or deactivating each of the 10 key positions. The new key came up as No. 4, and my exiting key was No. 3. It was the same for my E53 and E39, but no CA there. It's always a good idea to deactivate any keys you no longer possess just for security purposes.

I have a few customer shops with Autologic and when they cannot do a job they call me. It is a very good tool, but not the end-of-it-all solution, and sometimes has a very stupid and nonsense limitations. As a matter of fact there is a very little Autologic(or ISTA for that matter) can do over Winkfp,Tool32 and INPA. Anyhow, disable and enable keys is completely different from changing the status of a key from normal to CA.
It will be interesting if OP reports the end result.

It would seem from what I just went though that as long as the old lost key was disabled, CA became active on the one remaining old key and the new one as well. My new key worked to open the door with the button, and started the car when I got it from BMW...just no CA until I disabled all keys not in my possession. I did not look to disable a particular key, I disabled every key position I did not have.

Yup, things are sometimes more simple then they look like. What happened to me was probably a fluke.