Warping rotors isn't nearly as common as people think. Typically the cause of that shimmy is uneven pad deposits on the rotor, which exhibits the same behavior as warped rotors. However, if that's the cause then it should be possible to undo be driving with very light braking for a few days to a week. Light braking doesn't let the pads heat up to the point of transferring material to the rotor, instead they remain in "abrasive mode" and actually scrape pad deposits OFF of the rotor. Once that's done it would be advisable to bed in the pads again to lay down a new transfer layer though. StopTech's site has a great article about the myth of truly warped rotors.
Of course if BMW is giving you rotors on the house, why not? Just for future reference.
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