Hi, C. I am having exactly the same issue with my 2003 CLK 240. I have had the dreaded Valeo radiator issue that contaminated the ATF; so had the radiator swapped out, but no difference. I have carried out 2 full 14 litre ATF flushes and still no change. My next move is to change the conductor plate (i've already changed the Pilot Bush plug connector), but until then I am driving the car in 'W' mode which misses out 1st gear.
My fear is that I have a problem with the torque convertor 'lock up' system.
Any advice would be appreciated.
Steve