Man I was going to suggest all new coils.
Assuming everything else is good, what about a little extra carbon build up in that cylinder that is causing a hot spot, throwing the DME into a fit?
It sounds a lot like the 2800k rpm misfires I get only under load in 3rd+ gear. Revs fine in neutral, don't feel it in lower gears, and can't be explained other than a reflash that most people are doing, which supposedly loosens up the O2 tolerances. It seems BMW really squeezed what they could out of these cars mixture-wise.
For example, before I get to the point of flashing, I'm figuring something must have aged to get it the car to the level of having issues within a very restricted range. I was reading on one of the forums about how the DME at higher revs for the most part just runs off a set map, since it can't respond as quick to changes (no proof of this). If that is the case, this would lead me to think something mileage/age related has to do with the changes, and carbon build up could be one of those. I know some of these BMW engines can really carbon up over time. I'm running Marvel Mystery oil in my gas at the moment to see if anything improves. I cleared the adaptations before driving on a 400 mile round trip excursion. It ran much better. Started to come back, so then I added the MM. I thought I was crazy, but I surely notice a difference. Definitely not as bad and winds up quickly. I've had great luck with this stuff on my carb'd 85 Mustang, but I'm going to drive a lot more before I make a final call.
Have you done a leak down test in case there is a slight bit of loss out a valve or something? Could be slightly burned or a bit of carbon stuck in there causing a slight leak, which may or may not show up on a compression test.
Just my diagnostic thoughts, since you've pretty well covered things...
'04 330i ZHP sedan | Mystic blue | Alcantara | 6MT | 111k
'98 740il | Schwartz 2 | Sandbeige | 5AT | 238k | lowered on Bilsteins w/ B&G springs
'00 540i sport | Titanium silver | Black | 5AT | 120k
'85 Mustang GT convertible | Medium charcoal metallic | Gray | 5MT | 215k | one owner, all original