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Well, after replacing the filter you may get 1-2 dry starts, yes. Now whether this will have any lasting effect on the pump...
What I can tell you is that ISTA/D (the official software BMW uses) says absolutely nothing about bleeding the pump (13 32 051 - Renewing fuel filter (N47 D20 O/T 1)
Otherwise changing the filter is an easy DIY - it's basically disconnect from both sides and replace, it's just messy because of all the fuel which flows off.
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