Well it seems to me as if it's got to be the EGR valve and tube. I think I'll take a look at it and see what I can find.

As for the cat being the issue I don't think it's the issue anymore. I was under the car recently and inspected the whole exhaust system included the cat, from the outside there's absolutely no damage, not even any rust!

I'll let you all know what I find.

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1992 Mercedes-Benz 400E
2002 Mercedes-Benz ML500