Just an idea if your mechanic is right about the oil cooler being okay. Could you be losing the oil in another way while you are actually getting transmission into the coolant. I admit I don't know this model very well, but in certain cars there is a possibility of transmission entering the coolant via a transmission fluid cooler. Just an idea. I guess there still needs to be a reason for the oil disappearing.

__________________
1998 E320 150,000
1980 300SD 240,000
1965 190D 79,000