There is a second method to make the cluster LED's work. Tested and confirmed today so I feel confident with sharing it.

MS45-MS43 conversion.

Some basic notes here from the Spec46 racers who all do this conversion (which is why I know about it).

You will need 3 harnesses to complete this:

From an E46 ONLY:
Full engine harness (harness 1) - the big one attached to the engine and running into the e-box
Intermediate Harness (harness 2) - this one has the O2 sensors and runs behind the brake booster into the e-box)
Coil Pack harness (harness 3) - from e-box, across top of engine with the power wire, to the coils. Its best if you get this from a Jan 03 - Sep 03 rwd car, or a 2003-2006 XI, as these were MS43 but used pencil coils. You can use your stock MS45 pencil coil harness but you will have to repin the DME connector and splice on a different terminal connector as shown in this photo

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You will also need the MS43 DME. You will be flashing this to delete EWS so no need to get the EWS module.

While at the junkyard you should also get:
MS43 MAF (must come from a 3.0 car), this could be from any M54B30 car (x5, x3, e39 530i). This is a 3-pin connector with a push-lock metal clip
MS43 intake air temp sensor (top center of the intake manifold. MS45 cars have this port plugged with a plastic thing). - Any M54 car, even 2.5l ones
MS43 Alternator. The connectors are different. If you take the alternator from a different car than you got the harness, confirm the connectors work. Even among MS43 cars, the connectors vary. - Any M54 car works for this also.

Once you get all the wiring swapped over, you will need to flash the MS43 DME with EWS delete software.
The bonus to this is it will let you get keys cut cheaper if you want extras.
You will do this using the car as a power supply and your normal BMW k+dcan cable covers this in pretty good detail, but a quick rundown:

Download MS4x dev group flasher
Download tunerpro
Download MS43 M54B30 Firmware for your region (US or EU differences are mostly emissions related)
Download MS43 community patchlist definition file
Download MS43 FW 400069 Definition file

Open up tuner pro and load the MS43 firmware (bin), the MS43 community patchlist definition (XDL). On the left, go down to M3/M5 Cluster LED, and open up the [PATCH] and [DATA]. It will say "not patched" as shown. Hit apply patch, then apply, then close with the x in the top right. If you open it again, it will say "patched".
Open up the Immobilizer bypass folder and the [PATCH] immobilizer bypass window, and apply it as well. Do not apply the "clear immobilizer data" patch

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Save the BIN
Connect your cable
Open up the flasher tool
Go to the website and activate it to get your license file (free, not sure why they make you do this)
Close the flasher tool
Connect to your car. Open up INPA to make sure you are connected (two black dots showing on the home screen)
Close INPA, open up the flasher tool. the DME should be recognized as MS43 immediately.
Click the third icon on the left side (the disc with a down arrow) and "load binary". Select your modified file. The tool should identify it as a MS43 00069 firmware file.
Click "Full write" and wait as it flashes the DME.
Turn the key off as instructed after it completes.
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You now need to "reset your adaptations". The tool offers this ability, but I have found better success with INPA. So I suggest loading back up INPA, opening the MS43 ecu, going to "error" and then "erasing adaptation" and clicking them all. The key should be in "run" but the engine off for this. Once done, wait 30 seconds, turn the key to "off", wait 30 seconds, and you should be good to go.

The first start will take an extra crank but after that its back to normal.

I have a pile of MS43 DME's, so if that is too much I can do this for someone for beer money also, and mail you a DME.

If you want EWS to stay that is possible also, but a bit more complex to explain.