rjs,
Most cars do it. It generally depends on the factory finish on the caliper or bell housing. Porsche and Ferrari seem to have it right with the OE paint on the calipers, but even that can crack and discolour over time.
I believe that because BMW's are mass produced and clearly keeping cost low is a factor, some of the parts used do not have a great finish on them. Unfortunately the calipers are one such area.
I guess that we're only really seeing these "issues" now as wheels have become increasingly large and open and we are car enthusiasts after all, so we like our cars to look their best.
I've done 1 x E46 330d, 1 x E46 M3, 1 x E46 330i, 1 x E90 330d and my current E60 535d all in the same way. Most of my neighbours think I'm nuts! LOL
Matt