The OBD connector under the dash in Z3's will only access the engine codes, but the 20 pin round connector under the bonnet is used to access the cars computer.
I have the INPA bmw specific software which reads all the modules. I tried it recently and the cruise control module is listed on the menu but will not read it. I don't know if the DIS software will access it as I haven't tried it yet.
Some searching on Google come up with a consensus that there is no lights for the cruise control on z3.
http://www.bimmerfest.com/forums/showthread.php?t=467039