If all you are looking to do is get the new key fob working to do the remote locks, set the alarm, open the roof, etc. then you can do it yourself in a few minutes. The dealer key will aready be 'programmed' to start your car, as it will have the correct transponder code embedded in the key.
http://www.programyourkeys.com/BMW_Z4_Key_Remote_Control_Fob_Programming.html
Just make sure you do both keys one after the other - that's why the other dealer was asking to have both keys present. If you just do one key, the other one will no longer function - not a big deal, just do it again with both.
Good luck ....