Sounds like you may have a pinhole leak from the rusty part. You usually test for that with the exhaust on the car, but since you have it out, I guess you could plug the end, stand it up and fill it with water to see if it leaks.

I don't know what a new 300SD exhaust system weighs. If it's full of soot, you should be having problems with poor fuel economy and/or poor performance. Unless it's plugged up, you won't hurt anything by putting the system back on and continuing to drive. NOT putting the system back on and continuing to drive might be more fun, though local law enforcement may disagree.

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Whoever said there's nothing more expensive than a cheap Mercedes never had a cheap Jaguar.

83 300D Turbo with manual conversion, early W126 vented front rotors and H4 headlights 400,xxx miles
08 Suzuki GSX-R600 M4 Slip-on 22,xxx miles
88 Jaguar XJS V12 94,xxx miles. Work in progress.