Rusting of the rotors and anti-rattle brackets on E46 3-Series BMWs is no major problem. My mum's 325i gets the same thing; there is an anti-rattle bracket on the caliper itself which rusts, but the caliper shouldn't necessarily rust...
The rust that you see on your rotors is most definitely not a problem. One full rotation of the disc being clamped by the calipers when you first brake will clean the rust right off them. In fact, you will always have "rusty" looking rotors when they've been wet for a minimal amount of time, so don't worry about that.