If you read your owner's manual, it will tell you that the car was designed to do this.
When the coolant temperature is below 50 d C, it will delay the shift out of 2nd gear (not 1st gear). However, if you rev the engine above 3100 RPM, it will shift out of 2nd gear. It does this to warm the catalytic converter faster, thus reducing emissions.
2006 E350 w/ 155k miles (Daily Driver)
1993 300E 3.2L Sedan w/ close to about 300k miles
2003 E500 Brilliant Silver (Had 217k miles when totalled!)
1989 300E with 289,000 miles (had for <1 yr while in HI)
03 CLK 500 cabrio (Mom's)
2006 C230k (Dad's)
1999 S420 (Mom's/Dad's)
2000 C230k Sport sedans
2001 CLK320 Cabrio (Mom's)
1995 C280 My First Mercedes-Benz... (155k miles. EXCEPTIONAL AUTOMOBILE. Was Very hard to let go of!)