I wish BMW had offered more variety in the wagons (E46 330, E91 335, F31 340, etc.) but I can understand why they didn’t. I get the “if they had imported it they would have sold more!!” argument but I really doubt there would have been enough additional sales to justify it. Case in point - look at various recent cars where enthusiasts insist on a manual being a “must” but then take rate is low single digits. Many of the enthusiasts online are potential 2nd, 3rd, 4th owners of these cars and that only works if they can find a 1st owner to buy it.
At its peak (pre-crossover/SUV boom) I think BMW sold 75-80k 3-series family in the US, all body styles (going off memory here, might be off a little). Sedans easily 60% of that based on my estimate, ballpark guess of 20%-ish coupes, let’s call it 15% convertible and 5% wagon (that’s probably generous). 3/4-series market has been on decline for past decade as buyers migrate to X3. It’s just hard to make a business case for another wagon variant for what would have resulted in maybe an extra 1000 units per year. The “1000 units a year” business case makes more sense on an exclusive and high $$$$ model like an Alpina 7 or M760.