Yes, get the turbo checked for sure. I had a sticking throttle valve on my car which failed at 16,600 miles. It collapsed into the engine and destroyed the internals and also the turbo. A new engine and turbo had to be fitted under warranty and that was a hefty bill. The car was off the road for nearly two weeks awaiting the engine and BMW had to provide me with a loan car.

It's a rare problem I believe but there was at least one other UK based 530d owner who suffered the same fault as I di9d.

 

I don't know if you guys have the particle filter.
Mine has it and no smoke at all no matter what revs or kick downs ( Production APRIL 2004).
Running around 64.000 kms at the moment.