Just to let everyone know so that if/when it happens to someone else they can find this info through a forum search.

If you disconnect the OEM satellite ready BMW radio (either by disconnecting the battery or the head unit itself - like I did while installing an OEM AUX input), the factory head unit may default to "Euro" mode. If this happens the radio does not recognize the satellite connection (XM Direct - not sure about Sirius).

Here's the fix:
1. Turn Radio Off.
2. Turn Radio On.
3. Press and hole the "m" button for about 10 seconds.
4. Press < or > to navigate and + or - to change settings. May also need to press certain Preset buttons to change settings as well.
5. When you see Euro, change it to USA.
6. Turn radio off to exit.

The headunit should then recognize the XM Direct connection.