Sounds like this is supposed to be happening.  Most of the lights come on when you start the car as a self-test.  If you feel it is lingering too long you might want to have the oil pressure sensor checked out by a BMW dealership but it doesn't sound out of the ordinary to me.

I have come across the same problem a couple of times and it was the oil level sensor in the sump that was to blame.

If the car still under warranty..bring it back to the dealer and ask for a oil sensor change. It is not uncommon this happen in in all M54 engine, it burns oil according to the dealer's services manager said. Sometimes my yellow oil light came on and i added half quart of Castro Syntec and it would be gone for about another 6000 miles. It is normal.