No, there is nothing wrong with doing an early oil change.
Well, other than possibly throwing away good oil and money and time.
But then, it's your money and time.
The only real question is, why do it?
If it's for technical reasons, then you need to know or read up on the technical info before simply guessing at which mileage to change the oil and filter.
If it's for emotional reasons, then there is no need for any actual data, like an oil analysis for example.
For me, I changed the oil in my E46, A4, and 135i when the cars computer calculated that it's time to change the oil and filter, using the variety of sensor data and ECU algorithms. I'll be doing the same with my 335i Msport.
It may sound too cold and calculating to let the ECU make that decision, but it's been working just fine for BMW since the intro of the E46 nearly 15yrs ago. And yet, we haven't heard or been reading that those old E46's are prone to oil related failures, or excessive oil use with high mileage.
Seems BMW's engineers were correct on that one, even though we know they don't get everything right.