I've been running my M on 95ron exclusively for the past 4-5 months. I mostly buy from Sainsbury's as i can get it for £1.25 a litre currently. Previously i ran on BP ultimate. I've noticed no difference in performance or economy since switching.
The owners manual states:
The engine of your BMW Z4 M Roadster is designed to run on:
Super Plus/premium plus petrol, octane number 98 RON. Fill up with fuel of this grade whenever possible, so that the nominal performance and fuel consumption values are achieved.
The minimal permissible grade is:
Premium grade unleaded petrol, octane number 95 RON
97RON is the highest you get get over here in NI anyway.
I drive 1000+ miles a month and get up to 33mpg on 95 with no issues at all!