Mine does the same thing !!!
I have a '90 190E-2.6 auto and it does start in second gear. If you move the shifter all the way down and take off, you will engage 1st gear, which is very short. Move the shifter to "3" and it will engage 2nd and 3rd gear. Move it to "D" and 4th will engage. To engage 4th on a take off, you really need to hammer the accelerator to the floor hard.
What has been stated previously is correct. Nothing to worry about...
99 C230K Sport