If this is your first M-B automatic transmission, the real question is whether it is shifting harder than normal upon startup.

All of them shift late and hard when the engine has been sitting, and return to normal operation within a mile or two. It shouldn't be a neck-snapping shift when cold, but it should feel like a US car with a rather agressive shift kit installed. Even when warmed up, the M-B transmission has rather noticable shifts.

If you search the fora, you will see that this question is common among new M-B owners. Bottom line: it's to heat up the catalyst in the exhaust quickly.

You shouldn't have to keep it in first, but that would probably heat things up quicker. I put mine in drive, and shifts are somewhat harsh when the engine is cold. But mine is diesel-fueled, and the engine output is rather limited when cold, so the late shifts are great.