Yes the air filter is supposed to have a little oil in it but not too much. It's really fun to clean. If you think that's fun, wait until you do an oil change (read some of the threads on here about the W115 oil filter cartridge before you do). Remember not to wear anything white or otherwise don't want to get oil on when doing any of this
Sorry to hear about your 300D. That must have made for a horrible birthday. Glad you were able to get another Mercedes quickly though.