Sorry for the late reply..
Yes, you should engage the Parking Brake (e-brake) before putting the transmission in P. The clunk is pretty normal, mine does it. I suspect Mercedes may even say somewhere that you should apply the Parking Brake first.
There's simply less tension being release when you take it off, that way, so hardly any clunk.
2.5-16v 1990 90,000m Astral Silver
2.0E 8v 1986 107,000m Black