Hi Si and welcome.
Mine does this once in a while. I don't remember when it first happened as it happens so infrequently, but it has certainly been this way for much of my ownership (since 2009). It seems to happen when stuck in traffic for long periods, (especially when wet). The other precipitant seems to be driving very gently after a really hard blast, and it is in these circumstances that it might (very rarely) stall. It does not happen when pulling away, but when the throttle is blipped in neutral or when the clutch disengaged after driving at low revs (sub 2k). It is as you say, when the revs die away it over shoots the normal idle position and then catches itself. I did have a lambda sensor changed last year and the frequency of this problem reduced significantly. The sensor didn't show an error code until the warning light came on, so I wonder if progressively it failed over thousands of miles (causing some rough running) until a threshold was reached and the light came on.
The burst of power at 2k rpm may be because the torque curve picks up around there. However, I have found with mine that if I drive at around 30 mph in third for a reasonable distance then floor the throttle there is a slight hesitancy before the engine picks up. Again, this has been as it is for a long time, and much older threads on here suggested that this hesitancy is normal and an artefact of the VANOS. IIRC Andy reassured me that his has done this throughout his ownership from nearly new. This hesitancy is not there when accelerating hard through the rev range from stationary. It is barely noticable in other gears presumably due to the torquier nature of the lower gears and the higher speeds involved at the same engine speed in higher gears.
If yours has stalled three times in 500 miles the problem is much more prominent than any issue with mine. I would suggest as others have that you take it back to the dealer in case something is amiss.
Out of interest, how many miles has you car done, and what fuel do you use. Some people have found theirs to run better with BP Ultimate rather than Shell V Power or Tesco 99, and the speculation above suggests this to be related to ethanol levels. I've always used Shell but I'm considering a tank of BP to see if there are any positive effects.
This is one of the threads I was thinking of, from last summer:
http://www.z4-forum.com/forum/viewtopic.php?f=9&t=29288&hilit=hesitancy
It seems many ///M drivers have experienced this and no dealer has managed to find the cause
