As far as I know, that's normal. The outer two vents are the only dash vents that blow heated air. The center vents are only for fresh air, and AC if you have it.

You should slide the lever on the center vents to the right, to close them while using the heater.

My 77' Porsche 924 was the same way, and I think most German cars around that time were designed this way...not sure why.

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Current cars:
2000 ML55 AMG, 174k miles
2003 C240 T-Modell, 202k miles
1995 S320, 207k Miles