That sounds fine. The smoke is just condensation in the pipes. When my waterpump went the leaking antifreeze was burnt off before reaching the ground. No leak was visible when cool. It wasn't until it got really bad that I found the leak.
Do you smell the sweet coolant smell when you turn on your vents? As you can tell from all the above responses the nature of the cooling system makes for a tough diagnosis. Even the benz dealer was fooled with my waterpump!? Have it pressure tested. Failing that, check the whole system hoses and all particularly the heater core. There are some good suggestions above hope this all helps.
88 230E (W124)