Yes, I read that in the manual the day after I got the car. A friend of mine has had 2 M3's and 2 M5's. When he drove the car, he mentioned the noise. All of his cars were auto-manuals. I really appreciated the dealer getting another M3 out for me.
I'm always suspicious when I hear the words "That's normal for the car". In this case the words were true. Extra points for the dealership on this one.