Can be hard on rotors, can be hard on calipers, not slow the car as well, lots of "EEEeeeeeee!" noises, etc. Some cars or car/driver combos are more susceptible than others to non-OEM nasty side effects. Unless you are racing your car I wouldn't mess with the brakes. OE (comes in a box with a star on it), or OE brand (same thing but without the star) are good. Anything less than that and you may run into problems. Pretty much the dust is price you pay for world class stopping power. Look at any car that has truly excellent braking, they will all have the black dust. Be it MB, Porsche, BMW, racing applications, etc....they will all generate lots of black dust.
If the dust really bothers you, you can try the dust shields. I am not a huge fan of such a product and would never put them on any car I owned, but some people seem to like them. (search the shop forum records for pro/con debate on the issue) They have their own demons, but they will help keep your wheels clean.
Your third option is to buy some top quality wheel cleaner (P21S, Meguiar's, etc) and wash them weekly. Most MB wheels are not that hard to clean. Some aftermarket wheels get a bit tougher, but OEM wheels are usually pretty easy to clean. I recommend this option, and if you are washing the car weekly anyway, it is that much easier to stay on top of.
Hope this helps...Lee