Hocky - I feel your pain. I know I was one of those who contributed to this thread going so far off course!
I'm going to see if my MBZ mechanic has any suggestions. He is reputed to be really good but I know he's also "very factory/keep it stock" in how he approaches things. If he is unwilling to do anything different I'll try a full transmission flush (complete fluid replacement, not just drop pan) and refill with Mobil 1. It will probably be a while from now but I'll post my results.
Haven't entirely kept up with this thread, but have you serviced your transmission lately? Tried other ATF? Have the proper filter? Someone told me that shifting could also be affected by the filter and that you should have a "slider" type filter. Don't know if it affects cold shifting. From how this thread has gone it sounds like something we just have to live with