Depends. What are your goals with this car, how do you intend to use it, and how much disposable income do you have?
You can accomplish A LOT on this car with simple proven track pads like Performance Friction PF-01 or later pads, Hawk DTC-60 or better pads, or Cobalt XR-3 or better pads, which all have available fitment for the MZ4 Coupe and can be had between $400-600 dollars. I'd say 80% of your brake improvement will come from this alone.
For a set of BBKs to really impact your lap times beyond what simple track pads on OE sliding calipers can do, you'll also have to spend more than the typical $4,000 range because 1) you'll have to upgrade your wheels, most likely, since most OE wheels and in fact quite a few of the aftermarket wheels will not clear a larger caliper, much less a larger caliper on a bigger rotor and 2) you'll likely have to REALLY upgrade the tires. The reason being, if you want to brake later, brake harder, and brake for a shorter span of time while maintaining higher cornering speed, you'll ultimately NEED the grip and heat capacity of a true R-Comp like Nitto NT-01, Toyo RA-1/R888/RR, Maxxis RC-1, Hoosier A6/R6...etc. Those will ultimately allow you to brake when you want, where you want, and give you almost unlimited control over your brakes. Already you're looking at probably at least $6,000-8,000 worth, easily 10X more than pads alone for an additional 20% improvement.
But if your goal is to find the last ounce of speed on this car, is a BBK worth it? I'd say yes. It'll give you the last bit of brake pedal modulation control, excellent feel and know exactly what your brakes are doing, and practically inexhaustible amount of cooling so that you know for sure you can haul down from 120mph to 40mph repeatedly, 2-3 times a minute.
I would say, if you have that sort of budget, first throw some of it my way.
In terms of return on investment, I would seriously consider a new set of PFC-06 or 08 first. Then I would consider a set of better dampers. Back in 2006 I had the Rookie of the Year that year (well he wasn't rookie of the year yet) in Speed World Challenge drive my car at a local track, and immediately he identified the dampers as the biggest weak-point in the suspension and I concur.
Then if you're still chasing that last 10th of a second, I'd look into BBK.