2002 330i auto
I forgot to mention I re-did that test and pushed it up to 18psi. The gauge immediately starts decreasing, but slows as it gets closer to around the 9psi mark, where it will then hold around the 9-10psi mark.
It's hard to say if I'm getting a reliable reading, but I tried it quite a few times and got this same result.
Now look for the coolant the air displaced, probably in a cylinder.