The plot thickens.
I phoned up BMW this morning to see if I could get a definitive answer.
It would appear that the Pivot pin comes out of the factory dry.
Here are four, the two Paralever pivot pins and the two swing-arm pivot pins from a bike with less than 1,600 miles from new, that I removed them past few days and I haven't got around to cleaning yet.
They have not been disturbed since the bike was assembled and they clearly have some grease on the bearing surfaces of the pins.
Now it might be excess grease from the bearings but as the pins sit in the bearings and any over enthusiastic greasing of the bearing surface of the pins will surely get squeezed out on assembly, putting a smear on them won't cause any harm.
As for the threaded sections, the BMW advice is to use thread locking compound on clean threads and then tighten to the specified torque.
Neil (Steptoe) advises that he yearly removes the pivot pins of his bike to re-grease the pivot bearings but does not use a thread locking compound on reassembly.
I suspect that Neil has vastly more experience than any staff in any BMW franchise (given their apparent turn-over of staff - he's also one of those BMW-trained escapees who spent years working for 'Da Man').
I'm just an enthusiastic amateur so I pick the middle ground: I do remove and clean them and re-grease the bearings but I use a less strong thread locking compound than BMW recommend when I reassemble everything.
I will grease the bearing surfaces of the (above) pins when I put it back together because it can't do any harm and it may aid future disassembly given that the pivot pins are not sealed from moisture.