I'm collecting info on the parts, so far it looks like all consumables may be from BMW. I'm going to order 1 of each from SLV as they seem to be reasonable on price and then take them to my mechanic to see if they do in fact line up with BMW parts (as soon as I showed him a photo of the diesel/water filter he said it looked like it was from a BMW which he has a lot of experience with).
One known is the oil filter does line up with the BMW one, is common for both diesel & petrol and also used in the Toyota Supra which has a variant of the petrol BMW engine in it (it's basically a re-bodied BMW Z4).
Penrite does an oil that meets the specification as the Petronas diesel oil recommended in the book (along with a Shell alternative I've seen mentioned on an Ineos data sheet for international markets I found on this site). The Shell is slightly cheaper (at retail RRP, though the Ineos dealer charged me above Petronas RRP for my oil) and easy to find in AUS, the Penrite cheaper and easier to find again.
Diff oil commonly available here, a Fuchs product that I've found significantly cheaper at retail outlets here. And Penrite does a gear oil to the same specification for cheaper again.
For oils I don't see any issue with using other brands, provided they meet all specifications (not just weight etc, my mechanic ran me through all of this, if you're not sure talk to someone who is and will warranty any work they do!) and you buy from a brand that back ups their product, whether that be Petronas/Fuchs/Shell/Penrite etc. I wouldn't trust a no name oil that costs half the price but claims to meet specifications though (and my mechanic won't use it, if he can't get an oil that meets manufacturer spec he won't service the car)...
There are instances of specific oils being needed though! For anyone with a petrol Grenadier in AUS which I'm guessing there is very few of (probably lots of petrol ones in the US though), the oil is engine specific and there are no off-the-shelf alternatives (appears to be manufactured specifically for BMW by Fuchs), but can be bought from BMW and Toyota dealers for no doubt less than Ineos agents are trying to slug us...