It is the air pump, but the noise it not normal. If you can hear it than it is on its way to the junkyard. The air pump is part of the emissions control system and generally only operates the first little bit until the exhaust warms up. I had to replace the air pump on my 420SEL, and its not a cheap part. I bought a used one from an auto recycler for 1/2 the price and the an MB dealer installed it for me. Everything is working fine.
1995 E420 - retired
1986 420SEL - retired