When engine is cold, an electronic sensor locks out low-rpm gear changes (in all gears) until the catalytic converter is warmed up to operating temp. It's normal for the car to hold shifts, even all the way to 5000rpm, before upshifting when the cat is cold -- a good reason to let the engine warm up on these models before taking to the road. Engineers designed this for emissions reasons and it's specified in my manual (1993 190 2.6).
As to tranny, didn't have a look at how many miles you've got on your car but my experience with MBZs and with this type of MBZ tranny in particular is such: you can live with it or mess with it. As the MBZ trannies gets more and more worn-in, the shifts tend to get firmer. Especially noticeable when cold. ALL of my MBZs did this. It's somewhat adjustable (to make it softer, that is), though I'd recc a tech do this as you can easily make it too soft and have it slip itself into early destruction. The flex plates on the driveshaft could also be exacerbating the issue - again have a tech look at it, they can give you a diagnosis in no time. There's been a TON of posts re: hard-shifting trannies - try the search function. I more you know...