Your 'thump' is very likely the upper shock bushes....If it did not do this with old shocks, refit the old upper bushes.....
I had this with a self leveling e320 wagon a few weeks ago....the new upper bushes where too thin to absorb the wheel movement..ie : there was not enough compression of the bushes with the top shock nut fully tightened .....I installed other bushes I had in the shop from other shock jobs that had fat bushes....took some compressing to get the nut to start but no more noise .
This problem is known to affect some other Mercedes too.
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