Yeah, fog's a tricky thing. With xenons, since the light is so concentrated, it'd likely just reflect off the fog back up into your face. Next time it's super foggy, just turn on your high beams. As bad as that is, imagine it 10X worse. That's prolly what will happen if you had xenons doing that.
That's on top of the decreased bulb life of the xenons if you used them for high beams. For some technical reason, xenon bulbs dramatically lose life span if you flick them on and off. So, if you flash your brights, you'd be dramatically decreasing the life span of xenon bulbs. B/c of that factor, BMW didn't put xenons in the high beams. Your car will have bixenons. If you need high beams on for extended periods of time, your car won't use the inner lights for highbeams, but will switch open this filter on your xenon bulbs.
For fog, there's not much you can do. Standard equipment is about it. Fog lights should be pointed low and the light pattern should be spread out so that you're more visible and the light doesn't blind you.
///MSPEED's break in guideline is correct. The only thing I'd add is to make sure you vary the revs during that time. That means, you can't just set cruise control and take a very long trip to get the break-in period over with. You have to rev up and down up to that 5500 rpm mark to get the engine properly broken in. It's fun on a BMW tho so it's no big deal.
Oh, you need to break in your brakes too. I think you're supposed to go super gentle on them for the first 300 miles or so. Someone correct me if I'm not totally right.