My 325i consumes oil also but its normal for BMW. Just keep an eye on it so you don't run short. As far as the service indicator lights this is what I found on the net.
Starting in 1999 modified engine tolerances, more advanced coatings and the use of BMW High Performance synthetic motor oil has made it possible to increase the service interval from approximately 7000 miles to approximately 15,000 miles. Your BMW service indicator system has been designed to assist you in the proper maintenance of your BMW. Alerting you when maintenance is due. Maintenance performed in accordance with your service lights will save you money on unnecessary oil changes, reduce the risk of possible breakdowns by finding any potential problems early, and maximize vehicle safety, reliability and resale value.
Service Intervals
www.chapmanbmw.com/bmwserviceintervals.asp