Some HID lights adjust themselves everytime they are turn on. Others just stay put until an adjustment according to load, road conditions or braking is necessary.
S-class HID lighting adjustment is pretty obvious everytime you turn them on, on E-class sedans and wagons is not. Not sure about the CLK.
I guess a way to check would be pointing your headlights to a white painted wall at night and them add considerable weight to the trunk od the car (have a coupe of adults seat at the edge of the trunk). If the lights do not lower themselves, then your H.I.D. auto adjustment is not working properly.