You can't totally cut off a supply of fresh air indefinitely...to do that would make a lousy HVAC system. To say that the the car is the problem due to the quality of the local environmental air's conditions isn't fair to the car either...premium or not.
Even when AUC (automatic air recirculation) is manually selected...the fresh air flap will open for a few moments. You can't keep breathing in recirculated air in an enclosed cabin where the occupants are naturally expelling carbon dioxide. It would be like breathing with a bag over your nose and mouth...we all know what happens if this were to occur, right?
For some info about the AUC system...here's some direct links to the BMW TIS website: