Seems that magazines that have tested in the wet or even snowy conditions comment on understeer, while those reports that have been in the dry comment on much more nuetral steering. Here's my take, lets see what you think, and I'll quote a bit from Frere in R&T:

"The push is difficult to overcome when subjected to the comparatively low centrifugal force obtainable on the slippery surface"

What I think he's saying here is that at lower speeds, and at lower G-forces (i.e. slippery surfaces), the car will push. However, he also comments on crisp turn-in and first-class traction while driving the car in the dry at Jerez.

In other words, my bet is that not unlike other German cars, the M3 is tuned to handle best at higher speeds and higher G-forces. Lower speeds are just not its forte. Therefore, based on this (and its weight) my bet is the E46 M3 will not be the best stock Auto-Xer in the world, but will do better on bigger road race type tracks. I'm also betting that like any other car some relatively easy and non-warranty voiding mods will make it work much better at lower speeds if that's what you want at the expense of high speed stability.