So you're saying that when the S/W switch is in W (winter mode, 2nd gear start), that it holds itself on the hill, but if it's in S (1st gear start) then i won't hold?
If I am mistaken, then try putting the switch into S and see what happens. Either way, I would assure you that it's normal. My 95 C280 and the CLK320 both roll back when on an incline of anything of a grade of 7 or 8 degrees or so or more. And they both have 1st gear start.
2006 E350 w/ 155k miles (Daily Driver)
1993 300E 3.2L Sedan w/ close to about 300k miles
2003 E500 Brilliant Silver (Had 217k miles when totalled!)
1989 300E with 289,000 miles (had for <1 yr while in HI)
03 CLK 500 cabrio (Mom's)
2006 C230k (Dad's)
1999 S420 (Mom's/Dad's)
2000 C230k Sport sedans
2001 CLK320 Cabrio (Mom's)
1995 C280 My First Mercedes-Benz... (155k miles. EXCEPTIONAL AUTOMOBILE. Was Very hard to let go of!)