I have not had issues balancing 3 piece wheels. I don't think that should be a concern. However, certain styles of 3 piece wheels do have a tendency to trap water and vibrate in the rain. I experienced this with reverse lip wheels (non-step lip). Another possible issue with 3 piece wheels is leaking. Not a common problem... Another consideration is that not all barrels and lips are created equal. For example BBS barrels are fully forged (excluding e88's) while most standard barrels are roll forged. I would buy BBS or step lip wheel from a reputable manufacturer to avoid possible issues.
The positives of 3-piece are - more customizable (at time of build and later), and you can replace individual components if damaged. I would recommend avoiding clear coat on polished outers. It tends to get damaged and peel. I have had better luck with polished barrels without clear coat. You have to hand polish them regularly but they are much easier to fix if hit by a stone or slight curb rash.
'13 SSII M3 Coupe - KW Clubsport 3-way, Akrapovic Evolution, ESS Tune, StopTech Trophy, IND Euro Front Bumper and Gloss Black Mirror Covers, TMS Studs/Lugs, BMW Performance Carbon Fiber Spoiler/Interior Trim/Center Console, BMW Edition Grills/Gills, BMWPedals Extended DCT Paddles, Advan TC3 18x9.5 & 18x10.5 - Hankook RS3 (Track), HRE R40 - 18x10 & 18x11 - Michelin PSS (Street)