Ah ha! I asked the BMW dealer to turn it off so that whats probably what its telling me...that its off. No warning triangles or anything just an image of an empty battery.
Checked my manual again and its definately not in there!
Are you sure? I have an 05 with a BMW alarm and, whatever you do it seems to go to the default setting one you have disarmed it or turned the ignition on so that it will set automatically on the next shut down. This stops you from inadvertantly leaving it unprotected.
All the alarms I have had do this