I honestly don't know how to respond to that.
I own an E46.
My E46 specifies ATF fluid for the power steering.
Pentosin 11s is not an ATF fluid. It is not a substitute for Dexron III.
It really doesn't matter if BMW uses it in an E39 or not. Specifications change.
The OP asked whether he should be concerned about his mechanic using Pentosin 11 in his E46 power steering instead of ATF. The answer is yes. You yourself confirmed this when you said: "The best way to know is to look right on the reservoir cap - it'll tell you what to use."
I'm new to this forum, and have been duly impressed by the quantity and quality of your posts. But I don't think I'm off-base by pointing out a fluid incompatibility issue.