Crazy, someone buys an M5 and doesn't trip over himself rushing at the first opportunity to [legally] drive it close to its limit.
You don't drive your own car, at the BMW courses, they have a bunch of M cars for you to drive, Lambo, Audi, MB etc. etc. have similar ones they also offer snow driving, so you can take an aventador out on a frozen lake.
The Danish Porsche course is in your own car though.
Dont even bother with the official BMW class. You'll get way better use of money & time by going to your local track with NASA or SCCA or BMWCCA. Couple hundred for the day(s), couple hundred for insurance through Lockton Affinity Motorsports. Boom.
The difference, as originally mentioned, is that you get to beat on someone else's car with no liability whatsoever. Plus, the instructors most likely have far better credentials than your local chapter or HPD organization.
Also, a full HPD day will require the purchase of some equipment, most likely you'll need to take care of some servicing on your car, and you'll burn up at least 50% of the life of your tires during the day. It's not as cost effective as the entry fee suggests but they never were supposed to be