Only time dealer requested me non-refundable deposit was for an ordering a car that dealer will have hard time selling (E92 335i AW +CR combo- although it's super popular combo in the forum but not in the rest of the world). Other than that, all deposits were refundable.
Why don't you just talk to your sales person?
Tell him that you got the great offer from which dealership (just to let them know that you're not BSing) so unless he matches (which is the best deal since you don't have to cancel and piss off dealer too much then worrying about getting deposit back in timely manner etc.), you like to cancel your order.
I think you have a decent shot to get some money back or getting certain amount of money in accessories (like performance steering wheel etc).
Keep us updated.
X5M: Dinan Exhaust | Dinan Suspension | Velos Tune | BMW Perfomance Splitter | Lux V4 | Euro Mirrors | H&R 12/25 mm Spacers | IND Cosmetic Package
PAST: 08 E90 M3 | 08 E92 335i | 03.5 E46 M3 | 99 E36 M3