MB passenger cars begin life as a chassis designation or W-xxx code. What you are referring to is called a sales designation. There are usually several sales designations over the years to account for engine changes (M106, M112, M113, etc) and body styles (sedan, wagon, cabriolet, etc).
An AMG model usually includes engine rework, ECU reprogramming, suspension and brake mods, and interior / exterior trim.
Legally you will have a CLK 500 because that's what is on the title and DMV registration. But that shouldn't reduce the joy from the changes.
