I had a similar problem
I had a similar problem with my SMG M3 also. I would put the car in '0', step on the brake and tap the shifter to the right... the car would not change out of neutral. It started every once in awhile, for whatever reason - when it was raining. I would have to play with shifting from reverse to '1' and back and forth a few times... it was getting irritating and got progressively worse. I had taken the car in and was told that there was nothing wrong and as luck would have it, i would never seem to be able to replicate the problem when i was there. i got stuck leaving my house to go to work one day, for 30 mins. after being extremely frustrated, it went into gear and instead of going to work, i drove it directly to the dealer. spoke with the head of the garage, explained the problem to him and had him take the car out, he went out, came back about 15 mins later and told me that it had just happened to him... he had gone around the block, stopped for a minute to play with the gears and it wouldn't engage. he said that there was definitely something wrong because the diagnostic didn't show anything. they kept the car for 4 days, when i went to pick it up, i was told that a piece of the transmission (not sure exactly what part) had to be replaced but it was a major deal but covered under warranty, i did get a software update for SMG and when they checked, the SMG (?) was losing pressure - and that's why it wasn't engaging.. the mechanic said it was pretty intensive - gave me the invoice and it showed that they had replaced quite a bit... i can only imagine how much that stuff would have cost if not under warranty.
this was october 2003 when it happened - never had a problem with it after that. when you do take it in, ask them about the pressure thing - from my understanding that's the telltale sign for what my problem was.
good luck!