The 0W40 is only CF rated, not CF-4 or CG-4. It may meet the minimum MB specs, but I sure wouldn't use it in a diesel. BTW, the Mobil 1 web site also recommends 5W40 for MB diesels. If you put in the info for a 2006 CDI, you get this:

http://www.mobil1.com/usa-english/motoroil/car_care/which_oil/WhichOilManualResults.aspx?option=2

Have you ever run 0W40 in a diesel?