My experience was similiar to Paul's except that I purchased my Mercedes from a private owner from San Diago and drove it home to Chicago.
I took the car to a local Mercedes dealer to replace the air filter and picked their brain about obtaining the service records. I was told that there are several types of computer systems used by Mercedes dealers and that they could not obtain records from a different system than what they had. They also said that if service was done by a non Mercedes dealer then no records would exist.
I was not too worried since the service book (that came with the car) seemed to have been up to date on the A & B service schedules per the stamps.
Per the posts on Mercedes shop I contacted MBUSA to obtain the orginial invoice and service records for my Mercedes. They sent me what they could obtain which was the warranty work that Mercedes performed on the car. None of the A & B service schedules were listed.
1998 Mercedes E320, 200K Miles
2001 Acura 3.2TL, 178K Miles
1992 Chevy Astro, 205K Miles