The snowflake is the A/C compressor button. It basically instead of cooling your car in the winter, it removes the moisture in the car to prevent the windows from fogging up. The auto button basically controls the fan speed (air blowing at you) in the vehicle. It is a function that is paired with the A/C function which is why it comes on automatically.
The above is exactly what the service manager told me, and he also added that the snowflake should always be illuminated to prevent the windows from fogging up. That's the best I can give you, and probably the dealer can as well. It never hurts to call, and no, nothing is wrong with it. Enjoy that E46, I sure am enjoying mine