I have NEVER heard of a new shock coming without bushings.  I looked
at pictures of the KYB for your car, and they have bushings.  Either what
you bought is defective (return them), or you are confusing bushings with
upper shock mounts.  The mounts are available from many aftermarket
sources as well as your local BMW dealer.  Pelicanparts has quite a
bit of info for you.  Autohausaz is a good parts source.

Well, if you want OEM quality shocks for your car, why not just get
Boge shocks. Those probably came stock on your car, unless it was
specified with Bilstein. Boge, which I believe was bought out by Sachs
in which case it would be Sachs or Sachs/Boge, are excellent shocks
for about the same price as those KYBs. Good Luck!