In fact after accessing the M Drive through the CIC you need to press the Options key. This will give a menu for M setting as well as M Key Settings. Then you change it. Switch off ignition, take the key out, and put it back in, and restart the car.
I after the nudge from M Ryder, I had to go and figure out myself. In fact thru the options, you can also reset the M setting. Greater options.
E92 M3 2007 - ///PE with Test Pipes and BPM Stage II; CF Interior & Splitters; CIC with Connected Drive