Hi mozzy,
as far as I know, the E86 bumper should fit, but I don't think they made a coupe(E86) in pre-facelift. The bumper would be the different facelift style, the driving lamps are 'rectangular' rather than circular, and the airdam is a wider, squarer shape. If it doesnt matter to you, then it's ok, but I'd say it'd look stranger than having no blanking plates! I'd think that you could probably get the blanking plates from a breakers yard if you're lucky (or even get some that are similar if not the correct Z4 items - perhaps generic chromed ones so you don't have to spray them) or even have them filled in... you have a few options including fixing your old bumper.
the link I sent you is for a forum member who has sold his Z4, and has a couple of bumpers going for free(!), but need collection from Aberdeen - dunno if it's any use to you but I don't know where in the uk you are... they are sterling grey so would need respraying - excuse for a road trip?
I hope this helps, sorry if it's not much use! good luck!