I called a reputable race shop who runs a prepared E92 M3 about the power steering fluid question (I'd suggest others call Turner, Bimmerworld or Fall Line and see what they say and please report here) since there seem to be so many opinions regarding this and here is what I was told.
1) The power steering fluid splatter is "no big deal," they are not aware of any power steering pump failures due to this issue.
2) Run the power steering fluid reservoir at the 1/2 full or lower mark to minimize overflow/spray from the cap and monitor the fluid level.
3) Wrap a wrist band or other fabric around the reservoir cap with a nylon tie or other retaining device for track days and remove for regular use.
They did not recommend nor sell an additional power steering cooler for the E9x M3 as they didn't feel it was necessary for typical HPDE track day use.
I believe that there are probably more than a couple of "solutions" to this problem. If you like the idea and have the funds for additional cooling for your PS system, then by all means go for it. If you have good luck with just catching the overflow and maintaining your PS fluid above the minimum this sounds like a reasonable approach too. I only had boil over (if that's what it is, has anyone actually opened the reservoir and seen boiling fluid?) once and that was after I filled my reservoir to full and had a track event one week later. So pick what you like but my bet is that you are probably safe either way you go, but some people are going to feel pretty strongly one way or the other. I'd like to hear from others who talked to other race shops to see if their recommendations differ.