This might be worth a try. If your car has lazy venting enabled, holding the key in the lock position would drop your windows. Both my cars have this feature switched on.

Does the red light on the fob light up when you press unlock? if not its the micro switch most likely, mine has the opposite problem, i can un lock on the fob, but not lock, i have to use the key to lock, in my case the pcb is damaged because i soldered on a new micro switch, but its the actual. Circuit on the PCB, You can get a replacement pcb, there common to the mini and land rover too, but get the right one, the two button type, if you have TOAF, you can program in the remote to the car, that should get the locking/ unlocking working. if you buy a spare key, you will need someone with an BMW editor to program the chip, i have at some point got to do mine, and i have all the kit, but want to do mine first, before i offer to do anyone elses, but if you know someone who can do it, i'm willing to lend them my key programmer