In my experience the K&N's increase intake honk a bit. If there is a significant restriction on the OEM intake system a filter will help a little bit. They most likely do sacrifice a bit of filtration to get the airflow. If I had a car where there was a pinch in airflow I would use the K&N at the track then swap back to OEM's as soon as I was done. The rest of the time the OEM's work so well that the cost-gain (if any) is not worth it.
As far as "cold air" goes...colder air is denser with O2 which of course helps power. This condition is magified in many MB as the intake air temp sensor and coolant temp sensor cut back the timing and fuel/air ratio fairly aggressively as temps rise. If the intake air is getting "heat soaked" by engine bay temps then you are losing a bit of power to it. In an instance like that, insulating the ducting/airbox would help. Otherwise it just causes more clutter.
Hope this helps...Lee