After performing the service before I had a persistent smell of ATF, presumably from a very small leak that would blow back onto the hot exhaust. This smell went away but I wanted to make sure it wasn't because the fluid level had just dropped below whatever point it was leaking from, so I decided to open up the transmission again.
Just under 10,000 mi passed and the fluid came out looking dirty, maybe it had just mixed with the fluid that remained in the torque converter, maybe it got dirty on its own. There was some sludge in the pan and on the magnets, but not as much as the first time by far.
Used a new gasket, cleaned the pan bolts with solvent, and used blue Loctite to keep them from backing out. Filled with Valvoline Mercon V while running. Carefully cleaned everything up and even clean off the exhaust with brake cleaner to be sure, but I still had the ATF smell after a couple of days.
So I emailed Mike Miller, who writes Tech Talk for Roundel and he guessed it was leaking from the pan gasket. He recommended using Loctite and letting it set overnight. Also, he recommended torqueing the pan bolts to 12 Nm/9ft-lb/107in-lb instead of 6 Nm (he says the stock torque spec if too low).
When I get around to doing this I'll let everyone know how it turns out.
2001 330i Orient Blue