Even with extended warranty there is no issue with replacing things like microfilter and air filter yourself, guess you need to use the genuine parts to keep the warranty sweet.
In terms of costs, I guess if you look at my oil service at £139, you are buying oil and filter for nearly £80 so its £60 labour with my dealer. Guess the indi may be a bit cheaper but not loads. Again fuel filter, I paid £78, your part cost is £39 so my dealer charged £39 fitting. Don't see an Indi charging a load less for this item.
Given you have full BMW S'H to date if it was me I would keep it that way. Also BMW goodwill payments are much easier to achieve if you have a full s/h with BMW as that shows your loyalty and you have lined their pockets along the way. Recently I had a part replaced on my X5, cost £200, without even me asking my dealer approached BMW who agreed to pay 50% of the costs. Car is outside of warranty and I chose not to extend warranty on it therefore they could have told me where to go.