I would be very surprised if CarMax's warranty was not honored by most BMW dealers. It would be the exception, not the rule. I work in that industry, and they have a great reputation for warranty service through authorized dealers.
Hey there - my BMW dealership is also trying to sell me an extended warranty through the "Warranty Group" company...except they are quoting > 4K for the same coverage. I'd love to try to purchase through your dealership instead - can you tell me the name of your local dealership where you got the warranty?
According to my dealer they've used the warranty company for over 10 years and have had no problems.