You do have engine sound under sport individual, all M135i F40's have it
Press sport button, on the screen it should show SPORT, SPORT INDIVIDUAL. There should also be a PLUS option on your coded car. Press sport individual - there are 3 sub headings - Steering, Engine, Transmission.
Steering:
Sport
Comfort
Engine:
Sport
Comfort
Transmission:
Sport
Comfort
There is as you mentioned another setting for engine sound under the main car settings which has 3 options:
Depending on driving mode
Balanced
Reduced
When I coded mine with sport plus, I had additional plus options under engine & transmission but sadly both did nothing. Oh well, I coded it back to normal now. At least I got rid of that awful fake interior sound now!