I have the same problem on my 97 E300d. I try every time I slow down to wait until I feel the final downshift. The W mode does make a difference.. I am also noticing some "slack" in the drive train.

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Dennis
2006 E320 CDI Black/Black Leather. Nav, HTD Seats HK stereo 32000 miles.
2000 VW Passat 1.8t 300,000 miles as of Dec 09, 2009 original owner
1997 E300d Silver 300,000 miles As of Jan 05, 2010
3rd owner SOLD