I think it goes straight back to the alarm system. Typically it would only provide a ground connection so no power and therefore no fuse required. Causes the alarm to trigger when a 'ground' is provided. At least, that's the way I think it works and matches those saystems I've played with before - which BMW being BMW may not choose to follow as a convention.
I take it you've tried the usual open the bonnet, press the lock button and after a few secs let the button go? All hell should break loose if it works. At least, that's the only way I was able to check mine Is the rest of the alarm system OK?