Steve,
I bought a Rocket seven months ago, and also have a BMW K1200RS on which I have done some 50,000 km around SA. I have both bikes, and alternate, and ride exclusively in the country - both important considerations for what follows.
At first I thought the Rocket's shock absorbers were terrible, but after a few weeks I knew what was happening:
1. my body was 'tuned' to a different bike - and one's own movements and anticipation has a lot to do with shock absorption
2. the best setting for a bloke of about 84kg, with bags, luggage rack and so on, was setting 3. When my wife (she is very petite) joins me, I set the shockies to 5 and it works very well.
Now, after about 6000 km, I have a more suitable setting aone (setting 3) and my own body has learned to work with the Rocket (incidentally, I seem to swap between the two bikes very easily, although it seemed odd at first).
My counsel to you would be to put the shockies on 3 and wait for a couple of thousand kilometres. You should then discover that the factory items are actually a very fine compromise, work very well and in the process save yourself a couple of grand or so.
Cheers,
Einar
P.S. go to accessories (how to goldmine) on this site, as I have posted a couple of interesting modifications for the R3.