Brake Snatch

I have a E320 Wagon year 2000 Model
.
When I drive it from cold, the last instant before stopping when braking, causes a kind of snatch that makes a very dull "Thud" sound.
Difficult to explain but it is rather like I have stabbed at the pedal when doing 1 mph.
As soon as car has done some distance and brakes warmed up everything is normal.
Car has only done 36k miles.
I have checked Pads. Genuine MB (Only 30% worn). Rotors are almost unmarked.

I have also gone to unused car park and tried different techniques for braking to a stop at slow speed. Same result.

Dealer, after checking car, says this is fairly normal with cold pads - rotors.

Anyone any advice