Indeed, my W123 is the same way, and I've heard the same: that it's perfectly normal. Holding itself in 1st gear longer helps get tranny warmed up and to optimal operating temperature more quickly.
Of course, as Jackd advises, a fluid and filter change never hurts if it hasn't been done recently.
'95 E420 - 'Shadowfax
'92 Volvo 740Turbo Bard
'74 240D - 'Ol' Green
' 4spd Manual 104kmi. (sold
'77 300D - 'Red
' 223kmi (sold)
'75 240D - 'Bianca the Blue Bomber