Hi all, (new member here!)
I absolutely have this noise, 2013 335i. I had the M Performance Brakes (yellow) installed at port. Noise is very present when windows down and driving next to a curb or wall, or anything that reflects sound really. I took it to dealer and they also gave me the "its normal" reply. Though they did not say why, now that you mention the drilled rotors that actually makes sense because the air passes through.
I am just about at 10,000 miles and there has been no change in the sound at all.