I've now owned a few AWD M3's and driven in many others, and it's definitely a "normal" sound. There are slight variations between cars, and some don't exhibit it as much as others, but they're all roughly the same.
I wish it didn't make the noise, but I'm learning to get used to it because the car is otherwise so perfect!
I've also owned a long range RWD Model 3, and definitely advice anyone sensitive to high-pitched noises to go for RWD