jjp,
I don't think that any insurance can be invalidated by fitting an "unapproved child seat". In the event of a crash, I don't think that any Insurance Company will refuse to pay out in the event of an accident, even with personal injury to the child.
Why? Well I think that Child Seats are generic products, they are intended for use in 99% of vehicles. There is no way that Britax or any other childseat manufacturer can test their products in the thousands of make and model permutations. Therefore most childseats are "unapproved".
BMW's product, even though tested and approved, may well be inferior to other isofix seats. I suspect that the reason that BMW's seat is so expensive is because it was included in crash tests and TUV tests. The only possible effect the unapproved seat could have is if the fittings damage the seat or isofix fittings and this would not be covered by warranty.
Salesmen will of course attempt to sell you the seat and play on your ultimate fear, protection for your child. That's because selling seats is a good money-spinner. And it is likely that the seats are manufactured for BMW by one of Europes child seat manufacturers in the first place.
I'm using a Recaro Start seat for my daughter, and the seat gets transferred between MINIs, Zafira, Corsa, Mercedes etc. It hasn't been approved in any of these cars, yet if I have an accident, how will it invalidate my insurance. I think that it's one of the best child seats on the market for protection and I'd trust a brand name like Recaro who make seats through and through.