First, all BMW needs to do is read this thread and notice the numerous people (stupidly) openly admitting they wouldn't buy an M3 wagon but voted that they would anyway.
This behavior COMPLETELY reinforces the correct analysis that people are simply talking out their ass. Many couldn't even afford such a vehicle, but profess that availability is the only obstacle. When push comes to shove, only a crazy-rare few are really going to put their $80k+ into a wagon... even if it does have a M on the liftgate.
I asked this before, but will again... Has anyone else noticed how rare (like never) it is to hear of someone buying a CPO Porsche Sport Turismo? I literally can't recall ever hearing someone even mention they're considering one! Also, look around and you'll notice how unbelievably rare it is to actually see a Sport Turismo on the street. I think I've seen 3 ever... and I drive 30k miles a year throughout the entire northeast. BMW has surely done the market research and concluded (correctly imho) that wagons don't sell unless they're marketed as a SUV alternative like an AllRoad.