Some updates on my turn signal LED swap : since I had to order a couple of other LEDs for the rear (PY21W/BAU15S for the front and P21W/BA15s for the back), I tried another type and what a positive difference ! While there was nothing wrong with the previous ones, those new ones definitely look better, even surpassing the brightness of the original bulbs, but not in an overwhelming way. So, those new ones are CREE 30W XB-D5 LED. There are many CREE LEDs out there but only the latest ones, XB-D5, produce a lot more light per Watt used (in that respect, if available, only pay attention to the lumen rating of the LED, not the power alone as it can always be wasted in heat or wrongly focused). Please note that I also used amber LEDs for the back even though the rear bulbs were originally white (unlike in the front). Using white LEDs for the rear would have resulted in having too much light cut-off by the casing : it is best to spend all power on a wavelength that goes through.
Here is a video of my car featuring those new CREE LEDs :
The car looks so much better... why isn't BMW mounting LED by default
For reference, I also attach a picture of how those LEDs are advertised here in Japan.