They don't. It's a custom illuminated ZHP knob from a known eBay seller in Germany (username is Spitzbube or something); lots of people on various BMW boards have bought from him. It's around $120 shipped. Love it. Best shift knob I've used, and I've bought plenty over the years. Lol.
'02 ///M5 Imola Red / Imola Red '09 335i Alpine White / Coral Red
'04 E55 AMG Brilliant Silver / Anthracite
'96 318i Alpine White / Black
'01 330Ci Titanium Silver / Coral Red
'96 328i Jet Black / Black