The price of progress! Your naturally aspirated Z3 engine is the pinnacle of several decades of engine evolution. The N20 is a whole new breed, as engine technology progresses tolerances get tighter, things get more complex and they will run worse from cold - the upside is increased MPG and lower emissions.
At least its not an F1 engine, they can't actually start from cold because the tolerances are so tight the pistons actually seize in the block, they have to warm the engine up with an external heater just to crank it!