Not much to actively look out for but Ive seen some with brown, rusting calipers - make sure the dealer changes these as they look rubbish. Hasn't happened on mine and I have 36k on mine at the moment so I guess it shows it hasnt been washed much or left to rot after road salt!
BMW servicing is quite expensive on the X5 and I forgot about the huge run flat tyres which make a lot of noise and are very expensive to change. They wear out quick too.
Also, due to the thinner tyres on the RX, its actually better in poor weather like snow compared to an X5 which has trouble on moderately steep hills in this kind of weather.
Luxury - has pretty much everything you need
F-Sport gives you heads up display, sporty body kit + LED headlights and better handling with a slightly stiffer ride
Premier gives you everything from the Luxury + Mark levinson stereo, air suspension, heads up display, kerb view + LED headlights etc
I usually stay away from cars with air suspension but the mileage is so low that its probably not a concern anyway.
In terms of the headlights, yes the LED's are absolutely awesome. I can't fault them in any way and they are much better than the HID's. The Premier has semi-aniline leather - slightly softer but needs more maintenance