It pulls away in 2nd but does require more clutch slip.
In the 3.0 the clutch isn't particularly light or heavy. I prefer the sacrifice in traffic as autos always override what you ask for. If you flatten the throttle it always assumes you want maximum acceleration, what if I just wanted to enjoy stretching one gear from 20mph to over 100mph revelling in the faultlessly smooth response down low then building into a deliciously raspy top end?
There's definitely enjoyment to be had from the process of changing gear, the shift is vastly improved by the ZHP gear knob which shortens the throw and is over double the weight of the standard knob. (Adds momentum to the shift and helps it slot home) At only £63 from BMW direct it's not expensive. The sport button sharpens throttle response just enough to make heel and toe down shifts a joy. In both other 330i cars (e46 & e91) I've had/got the throttle is just a bit too tardy and takes too big a blip. Resetting the throttle learning helps but it's not as good and then it quickly learns to be slower during normal driving, which is frustrating but you can't drive everywhere with your pants on fire...
I would have said an auto makes more sense in an e85 as it's the cruiser's choice. The e86 is the driver's choice with a massively stiffer body and better resulting dynamics. Manual = driver's choice.
As for changing down on the motorway you just need to learn the gearbox, which adds to the sense of involvement/connection/fun. Rev it out in each gear, not at full throttle so you've got time to see the speed. For the higher gears simply drive at 3,300rpm and double the speed to avoid doing it for real and risking jail! (Unless you have access to an autobahn)
The auto in the Z4 is from the era when manuals were still the quicker and more economical as mentioned above.
You pays your money and take your choice.
NB: Ignore the heavy manual gearbox comments relating to the M as the 3.0 uses a different gearbox which is not as heavy.