SanDisk flash drives come preformatted from the factory with some sort of format that BMW's sound system (incl. H.K.) is not capable of reading well or not at all (as in my case.)
Reformat your flash drive and reload all your songs. I suggest downloading a couple of albums first before spending a lot of time with the rest of your music collection.
I have heard there might be issues with iTunes and BMW's audio system, but I don't think that's the case. I have weeded out all the bugs on mine, so do let me know if the step above doesn't resolve it for you.