My 54-plate (soft-top) is fine - not even a hint of condensation in the cabin. It's only a tiny bit of condensation inside the headlights I have to worry about.
Doesn't sound right at all. If it's a 58-plate get it straight back to the dealer.
No condensation but the windows and windscreen seriously steam up in this cold weather. Have to have the fan on all the time to keep it clear. Suppose all cars have this problem and the Z4 having a small cabin makes it worse.
I would suggest going back to the stealer, I'm on my second Z4 and have had no problems with misting in either car. I tend to keep my aircon on though and this undoubtedly helps.