In the States, I believe you can buy your extended warranty from any bmw dealers.
You're right. Some dealers will have option for you to buy 3rd party (to save you a bit of cost) but you can go for bmw extended warranty as well.
You can call up bmwna for any further questions on extended warranty.
http://www.bmwusa.com/Standard/Conte...rotection.aspx
http://www.bmwusa.com/Standard/Content/ContactUs/