My 99 e300 has done this since I've owned it. (67k) I assumed that it was an intended function of a cold start.

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85 300sd 400k
99 e300td 101k (hers)
34' californian twin 5.9 cummins
1999 F350 Powerjoke 75k
2001 F150 Supercrew 51k
19681/2 GT/CS