The following is based upon me being a car nerd and having nothing else better to do. I look at literally hundreds of cars for sale a week.
Prices of E89s across the board do seem artificially high still.
The market in used cars, in general, has dropped significantly over the past few months (for obvious reasons).
There is a definite trend in private sellers wanting the same money as a dealer would ask; something I've never seen before.
The lack of choice is probably down to many sellers waiting until spring when they presume the market will be stronger so should see better money. Many Z4s are second, or third, cars so the urgency to sell may not be as strong at this time of year.
Many E89s have been for sale for months and months so the demand isn't very high, but the prices still are.
I put a random 2013 18i (from Autotrader) the same as mine with similar mileage into WBAC just now. They offered £10,300. A dealer would ask around £14.5k, therefore it should be around £12k privately. It is a private sale asking £17,500!

I would want around £11k for mine if I wanted to sell it.
I personally don't think you would get any more peace of mind buying a 12 year old car from a dealer (it's not going to be a BMW dealer at that age) than buying privately and having an AA or RAC inspection done (the AA ones are really good for £300 ish).