Also one person mentioned the following:
guys the steering wheel locks definitely have problems. bmw remove the locks on the 335i's mfgrd after 3/2007. my car has the lock and a problem. dont ever get a new steering column. i have removed mine, and removed the locking mechanism cover to lubricate it. worst case all you should need to buy is a new locking mechanism if BMW sells it. after that my guess is there would be a software upload / upate after that. i would also recommend not buying a new locking mechanism. you can easily click to locking mechanism to unlocked position, then just remove the small electric motor. the are no wires for it. it just clickes in. once removed, it cant lock the steerin column any more. If you guys have questions, id be happy to upload some photos. thanks
Short Summary of what I just read up on:
BMW might be able to change the steering lock since you are just getting the yellow light. If the light goes red, its going to be a steering column replacement.