Sell your Comp rims, buy some Genuine Matte Black 359's from Tischer and be on your way. It's an official BMW product, so the dealership shouldn't say a word and considering they now cost LESS than standard finished
359's you won't be losing out, just put the tires you already have on the black ones.
Note - Even if you powder coat the OEM wheels you already have I doubt they'd say anything, I've seen people lease returns M3's with cosmetic packages still attached, megan exhausts, LUX AE etc etc.. Then again it could depend on your relationship with the stealership in question, why not just ask someone you know that works there? Maybe your SA.