Over on Bimmerforums one of the BMW mechanics with a couple of his own Z's did a big project testing cooling with and without the viscous, different rads and with and without the undertray. The outcome was that it does make a difference but bear in mind this is the US and he is somewhere much warmer than here though.
The car didn't overheat or anything but it made a difference.
I ran without one for a while and didn't like the way it look when mission - you can so the ground through the lower grilles with it missing. It may be in my head but it felt like the front end was slightly floaty at motorway speeds with it missing - may be my imagination though.
As a cost effective fix until an M one turns up you could modify a non-M one to fit- I think it is just the bit that meets the bumper that needs modifying to fit. The radiator side is the same.
A new non M was only about £25 (it was a couple of years ago I bought it) and Im sure our resident breakers will have some.
Edited to fix some seriously bad auto text courtesy of Apple!