"The M3 sedan is quite a bit taller than the coupe, so a CF roof probably wouldn't quite have the effect as it does on the coupe..."
The sedan is 1.4 inches taller than the coupe so therefore a lighter roof higher up would have more of an effect on the sedan's CoG than on the coupe.
The glued-on CF roof adds torsional rigidity to the bodyshell in comparison to a bodyshell with just the cross strut (and no roof or one not glued on).
This is why manufacturers (starting with FIAT on the 128 in about 1970) glue in the windshields these days. Previously they used to sit in a piece of rubber and "float" which added nothing to the torsional rigidity.