Yes it's designed to do this. Depending on the speed you are going, the trans will either go into 1st of 2nd... really will only go into first gear when travelling about 3-4 mph or less, if that.
This is the way it's supposed to work. If you are only pushing partial throttle in 1st gear (manually held in 1st), and you move the lever to 3, it may feel like it's going directly to 3rd gear, but I think it actually switches in 2nd real quick and then 3rd. I have never noticed the trans skip a gear on upshift unless I totally release the gas and it shifts into 4th, and I kind of think it actually will shift into 3rd before 4th gear. I hope that makes sense......

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2006 E350 w/ 155k miles (Daily Driver)

Previous:
1993 300E 3.2L Sedan w/ close to about 300k miles
2003 E500 Brilliant Silver (Had 217k miles when totalled!)
1989 300E with 289,000 miles (had for <1 yr while in HI)
03 CLK 500 cabrio (Mom's)
2006 C230k (Dad's)
1999 S420 (Mom's/Dad's)
2000 C230k Sport sedans
2001 CLK320 Cabrio (Mom's)
1995 C280 My First Mercedes-Benz... (155k miles. EXCEPTIONAL AUTOMOBILE. Was Very hard to let go of!)