What year is your X5? As
lowlevelhell stated, you might find more help in the E70 forum if it is an E70 and not a F15.
You state that the "engine isn't knocking and it runs fine"; so to be clear, you have run it since the message? Did the message go away? Does the vehicle indicate the correct oil level?
I'm not a big fan of tearing into a motor unless I have something indicating internal damage, but oil starvation is no joke. You will have to determine what you feel is acceptable risk for you. These engines (like most modern engines) are very sensitive to lack of lubrication.
So since you are looking for advice to determine what to do, I would likely start with an oil change and see what the oil looks like. You may have done some internal damage and it may not really matter or it could be a precursor to major damage. If there are any flakes, then I would drop the pan and do a visual inspection.
After the oil change, I would remove all spark plugs and accessory belt, rotate the motor manually from the crank to see if you feel any rough spots as you rotate. With the belt and spark plugs removed, it should rotate pretty easily and with a uniform resistance. If you spun a bearing or did any major damage to a bearing surface, the oil and rotation should indicate pretty clear that there is an issue. Listen carefully also as it may give you a better idea where the damage may be; you could have a friend rotate and listen with a
mechanic's stethoscope.
If you get to a point that you feel safe running the motor, I'm guessing the BMW motor would generate similar oil pressure as other motors I have worked on, 40ish PSI at idle and more with increased revolutions upwards of 80ish PSI.
Good luck, post back please.