I have not noticed any noise here, but the coldest we've had here in Seattle is 35oF. Typically the highest fan speed is pretty loud on almost every BMW, but that's only when it's on max to get the temperature to the set level (really hot day or really cold morning). Could be it's adjusting some vents for maximum effect as well. Of course, this should all diminish as the cabin gets close to human temperature.
Does it sound any different (better or worse) when you activate the front defroster?
I would just leave it in auto and let it do its thing. Even my 2003 325xi did a great job at this and learned to forget it. Drives me insane when my partner adjusts the temperature when he first get in the car--just leave it alone!