i install my HID ( EPS ) 2 years back , once i install i got the error message same as urs . But i finally found out the problems.
The original headlamp bulb is 55 w , then HID is 35 w . Thats y the car ECU thought that the bulb is blow .. so keep on showing u the warning .
Solution is , Bring your car to the workshop with BMW diagnostic Com and reprogram or edit your headlamp as Xenon Headlamp , so that the ECU know u are using Xenon HID bulb with 35 w instead of 55 w. problem solve !!! no more warning in the future !!
but u have to sacrify with the headlamp leveling function with comes original with your car . Coz those BMW comes with Xenon Headlamp also got the function of Auto Leveling , which mean when u pass a bump the headlamp wil automatically adjust the level for driver .
just my 2 cents ..