Please correct me if I'm wrong but it is my understanding that the M5 is not included in the vehicles available for European Delivery, anybody knows what is the reason for that?

You can indeed do a European Delivery of a M model. It's just that there isn't any savings unlike the regular non-M models. It doesn't matter where you buy the M model. It'll cost the same here or over in Germany.

The only vehicles not available to ED are the X5 and Z4, as they are built in the US. This will change, however.
In a few years, the (probably redesigned) X3 will be built in the US, trading places with the replacement for the Z4.

Thank you vegastrashed, I'm thinking about my future vehicle purchase and I want to do the ED this time