I have found both with our former 1992 300TE and our current 1995 E320 wagon, that the steering wheel doesn't totally zip back to straight when coming out of a turn. I don't know that tires would have tons to do with this -- I think it to be more steering geometry than anything though front tires could have some effect.
The rear hatch struts wear out, and it is kind of a pain to replace them if you're not prepared for the job. But it is a DIY job, for a medium-skilled DIYer with appropriate tools.
You will be alarmed at the difference after you replace them -- the hatch will knock you in the chin if you are not careful! They do settle into more of a "normal" mode of raising after a little while, though.
MPG -- for a 103 motor, I think 19-21 is right on the money for mixed driving. Low-mid 20s for longer-distance highway driving is normal too.
Michelins are very popular and you can't go too wrong with them. I would say that there are also other brands that are quite good -- Yokohama comes to mind. Tires are tough -- lots of personal preference there, and lots of choices to meet the budget. My advice -- solicit advice, and order online from Tire Rack and have them delivered to your local indy for installation. H or V rating should be more than adequate for a wagon.
"Just Say No to Ü-R-O [parts]"