I suppose I view the comparisons in this thread a bit differently.
I find the M35i to be priced about right. It's main competitors are the MB GLA 45 AMG, Audi's refreshed Q3 for 2019 & to a lesser extent, Porsche's Macan Sport Edition (4 cyl.) for 2019.
In the above group, I consider the M35i to be the best compromise of the three, supra.
I would never cross shop the X2 vs the M2. Apples & oranges here...
If I'm cross shopping sporty SAVs w/AWD, I'm only looking at the aforementioned SAVs, period; hence, the X2 M35i is the clear winner in my eyes. Not interested in anything Japanese (boring sewing machines), American (boring appliances) or British (questionable reliability)... This is just my view. YMMV!
The GTI is a great hatch (owned two)... The R is an even greater hatchback! They are not a direct competitor to an SAV, however.
If price was an issue/concern, and I wanted a pseudo SAV w/AWD, I'd shop VW Golf R.
Price no object in the small AWD SAV arena, it's the MB GLA 45 AMG. The best bang for the buck is the BMW X2 M35i. This is how I see it. YMMV
Cheers/B