I too had problems with clearance on the front brakes. There's just not enough room (or barely enough room) for the full thickness of the pads -- even on a worn rotor!
I found part of the problem was the shims can slide too far forward or backward, needlessly shimming the gap between the sides of the pad backplate and machined slot in the caliper. I had to nudge them off the slot. You also MUST clean these slots of brake dust before installing the pads. I even had to remove the antisqueal paste goop from the backside, hoping to gain some room.
95 E320 Cabriolet, 131K