I guess you could say it's oil, after all that's what a diesel burns as fuel.

My wife's 96 E300D does this too. When she lets it warm up a bit in the garage (yes, the door is open! ) the condensation in the cold exhaust system mixes with the oily carbon soot in the exhaust. Because it's moist, it gets deposited right on the concrete.

When it's warmer the dry carbon soot just blows away.

I agree, it sounds normal.

BCingU, Jim