I took the car to BMW this morning, and drove with one of their QA specialists, and he heard the sound as well.
He doesn't think its the brakes (the brakes have a distinct sound), and he's not sure if it might be the alternator.
He says that they will have to start eliminating one thing at a time until they sort out the issue.
It's a weird metal squeak, it's one that you would hear on a very old car.
Car booked in again on Wednesday.
Will keep u guys posted.