There is a separate small manual for the alarm system that describes this warning.
As others have advised, it means that the backup batteries (2) in the alarm (DWA) module under the seat are depleted. The alarm will continue to work, but it will not sound if the main battery is disconnected.
The alarm module has no way to sense whether the fob battery is weak that I am aware of. The fob either works or doesn't. Funny, the things that dealers come up with.
I used to work at a BMW dealer......