Dealers are there to sell finance. That is the name of the game in the modern world, everywhere you go people want to sell you finance. Use finance as a bartering tool. If you are paying a huge sum in the first place the arrangement fees will be fairly small in comparison to the borrowing amount and the discount you can probably haggle by taking finance. When BMW wants to flog vehicles that don't reduce the list price, they reduce the finance rate.
The penalty you will pay will a months interest or similar (providing you don't take PCP iirc) and whatever the finance arrangement fees are. A months interest is peanuts in comparison to arrangement fees.
All together if you take finance and pay it all off after a month it will probably cost you £300, but you might be able to get a better price and all that matters is that you get the best overall price. When you arrange the finance the loan company think they are going to make £2/3/4/5k over the period of the loan and the dealer is obviously compensated accordingly for that and will take that into account. The loan company is probably BMW finance anyway