Ok, so I have done a little more research now. That cable is definitely the way in which the Gear Lever is automatically moved out of Sport mode when Park is engaged and the ignition is turned off. The free end of the cable attaches to the DCT (in the case of the 35is) gearbox, as you can see here:
I haven't been able to find any explanations of how to disassemble the Gear Lever system and in particular, part 1 from part 2, as shown in the diagram.
If nobody comes back to me here then I will get under the car and have a look at the cable attachment point on the gearbox and carefully try to separate parts 1 and 2 without writing off the car or having to apply for a second mortgage. After that, I should know if the cable's length can be adjusted or whether it is all just wishful thinking!