I didn't realize K&N had a Z4-specific kit.
Aftermarket intakes don't provide much performance benefit, but they do make nice sounds, which is critical to enjoying a sports car IMHO. They are no more a waste of money than a backbox delete. They DO NOT lose any noticeable power, and may actually gain a minimal amount. I've been through over $70k in mods on my Z4's, and it's annoying to hear the same recycled garbage about aftermarket intakes losing power (so let's stamp it out before it shows up here). However, an aftermarket intake is a poor investment if your goal is ultimate horsepower, because there are better things you can do with the money.
I had a "CAI" on my 3.0i that consisted of a heat shield and K&N filter. No performance change either way. I took it off after about a year because I had a whistle at part throttle that was amplified with the new intake. That whistle ended up being an unrelated vacuum leak, but I never felt the urge to reinstall it. The M54 is tame in stock form, and while an intake makes it sound louder and meaner, it's still a mild engine. I moved to a Dinan intake (no change in sound, but a slight bump up in performance), and then eventually had to take it off for my VF supercharger. If I had gone with an ESS twin screw, I would have kept the Dinan intake. An aFe will sound better, but a Dinan intake will provide slightly more power. By slightly more, I mean 3-5 more hp.
Before my Z4M roadster's supercharger install, I had an aFe intake installed. That thing was worth every penny. I did notice a slight improvement in power (less than 5 hp)... BUT THAT GROWL!!! You're really missing out if you have an M and muffle that CSL-like growl. The aFe is a tad louder and less refined than a Gruppe M intake, but the majority of owners will love the sound.
The aFe was easy to resell. The company's owner is a huge BMW fan, so they get my vote.