I have a similar problem on my E46 M3 when cold.
I have a similar problem on my E46 M3 when cold. Seems to be a quirk of the transmission. However, once warmed up, shifts are smooth.
How long did you drive it for? Did it get better over time or did the problem remain after the car was warmed up?
I'd say that if you were driving the car for any longer than 15-20 minutes, the problem should have gone away, otherwise there may be tranny issues. Then again, when was the last time the tranny fluid was changed? That could also be a culprit.
Hope this helps