I have never liked Shell or Pennzoil products much. There's too much wax/paraffin in it. And according to our resident diesel oil Guru, Larry Bible, Chevron Delo 400 is best. This was recently backed up by a research chemist at an independent testing laboratory I was speaking with. His inside advice was that from what he had seen, it was the best all round motor oil.
Personally, my car came to me from the second owner with an 80K mile history of synthetic oil (Mobil 1) in the crankcase. You can use any motor oil with a CH API rating or better so don't think that you need to use "diesel engine oil". And, you can almost always expect diesels to use and leak a little oil, it's just part of the territory.
You might want to add Redline Diesel Fuel Catalyst/85+ to your car. First use a whole bottle, then add about 1/3 per fill up. It really does make a difference. My car has been using it for the same 80K miles, hardly smokes at all and has plenty of power. The additive raises the cetane numbers several points, which is important in Mercedes diesels.
You can buy redline products here online at PartsShop. But for detailed information on them, go to http://www.redlineoil.com.
BTW, there also is a specific Diesel Discussion forum here as well.