I had my cats replaced on my 99 S420 w/ 45k miles. The cats themselves arent usually the problem at this low mileage. Something goes wrong to ruin them whether it be MAF or O2 sensors, or both. My car is from Canada but I live in LA. The 8 year warranty covered this problem. Did your service advisor say it's covered. By the way take out that K&N Filter before giving it to them because it would suck if you had to pay for an 8000 job due to an air filter. Since the rust from the snow in Canada rusted my muffler and resonator, they had to replace those too. If Mercedes doesn't cover it, then it will cost a lot of money to fix. Perhaps you should decide whether it is that important to stop an exhaust startup noise. Get a smog check and compare it to your early tests, to see if you are going to fail emissions.
I would say if you have to pay out of pocket, it will cost at least 8 grand to fix at a dealer. Each cat is 2500 a peice. I bet they have to do a gazillion tests on it and at least 10 hours of labor because of the rust. And don't expect the process to take 2 days, mine took 17 days. I bet some parts are AMG specific and must be special ordered.
It's strange that Canadian Mercedes have cat problems. Perhaps someone should post a poll.