My 2011 has it. When an aux device is plugged in and you go to External Devices -> AUX, you should have a volume selector on the right side.
In my garage: '11 e92 335is 6MT (05/10) SpGrey/CoralRed/GlacSlvr ExecPkg/NavPkg/19" 225M
Retired: '07 e92 335i 6MT (12/06) SpklgGrpht/CoralRed/GreyPoplar
Retired: '04 330Ci M-Sport 6MT SilverGrey/NaturalTan/MyrtleWood
Retired: '00 328Ci 5MT SteelGrey/Grey/MyrtleWood
Retired: '87 Pontiac Grand-Am 3AT White/Grey