Thanks Ashman, it seems my 92 400E always starts from the 1st.
I finally found out this from service CDs:
On model 124.034 (400E), to enable the catalytic converter to heat up more rapidly, the 1-2 upshift in the automatic transmission is retarded at a coolant starting temperature<40C as follows:
After a speed of 8 km/h is exceeded for 8-13 s or up to max. 38km/h.
This is controlled by the LH control unit and the 1st gear starting off relay
So they shouldn't call it first gear start relay, it's actaully a upshift delay relay.