Ive told my insurance company about my exhaust, told them I imported it, gave them the price it costed me and my premium went up a little. Regarding the warranty, I have had a good relationship with my sa at Brisbane BMW and told him about my injen intake on my car. He asked the Service Manager and the mechanics what their policy on modifications were. They said they would not warrant a claim only if they found filter particles in the engine, as per his instructions left the intake on when the car went for its inspection (2 weeks ago), nothing was said by anyone when I went to pick it up
. Prior to this I asked about the exhaust, they were fine with this to. Im not sure why they are telling you it will void your warranty as I have been fine with them, theyre Service Manager seemed to be a good guy. Could be because the 135i is more of a powerful machine therefore could be MORE susceptible to something going wrong (say that very lightly and not that the 125i isn't susceptible to problems) but I doubt a BMW designed exhaust would cause any problems at all.