I had Xenon's on my '96 E300. Paid $1,000 extra from the factory. They were great, but be warned that the problem with them is that the Xenon is ONLY for the LOW beam. Even the upgrade kits like you're talking about are LOW beam ONLY.
Also, if you will search, you can find a link in a post from about a month or so ago of a company that sells Xenon kits for well under $1,000. As far as the specific car make and model go, you are only adding electronics to drive the bulbs and changing the bulb itself, so it doesn't need to be from MB for your specific model car.
As far as the value of these lights, I am probably a "one percenter" as far as headlight needs go. I drove 40 miles total every working day, in the dark on narrow winding farm roads just to reach the highway. I have to dilligently watch for and dodge deer and escaped cattle. I have had some close calls and I'm lucky to be alive. So, this makes it imperative to have the BEST headlights I can get.
I have learned from this that the reflector of the light is MUCH, MUCH more important than the bulb. If you double the lumens in a poorly shaped reflector headlight, you gain very little.
Now if you want the Xenon's because they look cool, that's a different situation altogether. For me it's more important how well I can SEE from my car, than how good it LOOKS.