I have never returned the X4 or X3 to stock while updating software, never had a problem. Here, I am talking about the SCT software, not the tune.
Now if there is a tune update available, the prudent thing to do is to return the vehicle to stock. To do that, make sure the X4/BDX/etc is uptodate on the SCT software/firmware first. Return the vehicle to stock. THEN download the tune to the vehicle.