They say not to do it as it "almost always results in rotors that are below minimum thickness and will warp in weeks" Which is why you only machine them to minimum spec.
Bentley recommends it aswell.
I have done it on all my cars and I drive them all hard. I've stress-cracked pads from overheating, but never warped a rotor.
They say not to do it because BMW rotors are soft and designed to wear, increasing braking ability, and reducing the thickness to a government mandated standard is unsafe as they can crack and fail. Besides they are only about $40.00 ea. rears, $30.00 fronts.
This from Koala Motorsports, a highly reputable BMW experienced tuners, "It is not recommended that you have BMW rotors cut, this almost always results in rotors that are either below minimum thickness or that will warp within weeks."
Lets be honest, this is what the Bentely tech said about BMW rotors and he was referring to a person complaining about "shimmy" while braking, "You need most likely new front brake rotors. Turning the rotors will help, but only for a couple of thousand miles." Not a recommendation for turning rotors, simply a quick cheap temporary fix.
From The BMW Brake FAQ
by Steven Jay Bernstein, BMWCCA #83901
"Why can't I simply turn the rotors?
Warped rotors cannot be turned (cut). The excessive heat that has caused the rotors to warp changes the composition of the metal so that they cannot be cut properly, and the problem returns virtually immediately. New rotors from a BMW dealer, with a BMW CCA discount, are so inexpensive, particularly on the older BMWs, that it is economically foolish to turn old ones.
Another comment on turning rotors - when you buy new rotors from BMW, they have a coating on the brake surfaces. Clean them before installation. Take some brake cleaner and clean off both surfaces of the rotor (where the pads make contact). Then, upon assembly, don't touch the surfaces with your greasy hands."
BMW Z4 rotors for example start out at 22mm thickness and the minimum allowed before discard is 20.4, not a lot of room for turning.