When I purchased my 330 Msport SG I too noticed the rust on the calipers it worried me a little so I looked at others in the show room and all the others were just the same.
It looks awful and when you show your pride and joy to friends etc they all comment on it. I cured the problem by painting with hammerite silver paint from Halfords. I painted them through the wheels with an artists brush didnt take long about half an hour. looks top now!