I also use cross-drilled rotors for more aesthetic purposes than cooling, but I think they work great on both counts. As far as Axxis goes, I know they are hard to find Jay. I drive an SLK just like you and tried to find pads by them about 2 years ago. They had a part # for my app but nobody at that time had ever seen a set, and I dont think anyone has yet. That's when I found Tim. He had fronts in stock and made me a set of rears. I have also heard the Axxis are quite high in metalic content. More metal generally = more rotor wear. I swapped my brakes out 30,000 miles ago and I usually drive pretty hard. No signs of exessive wear on pads or rotors. I'm happy.
As far as cross-drilled vs. slotted rotors, just by the very nature of a slotted rotor it is bound to create more dust. As to effectiveness of braking between the two, we'll leave that debate for another post...