You might be experiencing normal transmission behavior. When they are running right, the shifts on the older Mercedes automatics are a lot firmer than most American transmissions. The shift points should be kind of high on a 240D compared to most other cars, because the engine doesn't make a whole lot of power, and what little it does comes at high (for a diesel) rpm.

On the other hand, it's also quite possible that you have a vacuum problem. The shift points and quality (firmness) on these transmissions are controlled by vacuum signal. If you have a leak somewhere in the system, this can cause the vacuum to the transmission to be less than it should be, resulting in harsh shifts. You didn't say what kind of dealer you bought your car from, or how much experience they have with Mercedes. I suggest you get your car to an experienced Benz mechanic for a closer look.

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Whoever said there's nothing more expensive than a cheap Mercedes never had a cheap Jaguar.

83 300D Turbo with manual conversion, early W126 vented front rotors and H4 headlights 401,xxx miles
08 Suzuki GSX-R600 M4 Slip-on 26,xxx miles
88 Jaguar XJS V12 94,xxx miles. Work in progress.
99 Mazda Miata 183,xxx miles.