I had this on mine about a month ago - although my steering wheel lock symbol was amber - not red. My car wouldn't even start though!
Turned out to be the CAS (car access system) module had gone.
Long story short - $800 part and a 2 week wait from Germany, then fitting.
I did a fair bit of research trying to sort the issue and from what I found - yours sounds like it's the steering lock within the column.
It was more comon on the 2006 and early 2007 models. (heaps of info on this forum once you start searching).
Go to an authorised repairer rather than BMW, otherwise it'll sting twice as bad!
Hope it works out for you!