I don't think it's actually a problem as such, but having read an article and finding out i've been answering the question incorrectly in the past, only to correct it and find the insurer didn't know what to do was bizarre!
It seems they only do it as if there's a total loss claim they will settle the legal owner, in this case the finance company's stake first. As the PCP is an agreement between me and BMW Finance I have obligations under that so i'd ensure I met my commitment with them anyway. The main thing is that the vehicle is insured fully comp.
Of course I intend to take out GAP as well, thanks for other feeds on here suggesting ala who look good value.