For reference, on a local Dynojet that uses a full correction factor on turbo cars (read: peak numbers appear "inflated"), the RWD 335i's up here seem to put down an extra ~15+whp or so more than the AWD 335xi's. So yes, there is an additional drivetrain loss associated with having 2 extra drivewheels, and it's fairly significant.
That's the price you pay for additional traction in inclement weather.