Is that a steering wheel off an M3/M4 that you bought? The part number that it came with is from one of those, but not an F30, which would explain why it would flag as the wrong version if the old one was in at that point, and won't work in the F30.
As for the new module, yes, if it was brand new, it would require coding, otherwise it has no knowledge of what features/options your car is supposed to have. If you aren't comfortable with trying it yourself, I would try to find someone local who could help with the coding. For explanation of what you need, all they would need to do would be to create a Cafd file for the module and VO code it.
And yeah, unless you are really, really cool with your dealer or know someone personally who works there, they will usually tell you to hit the bricks when it comes to getting help with retrofits that aren't sold by BMW.
