I've personally never had to remove an oil cooler on a NA 606, but after referring to the factory MB manuals, there is nothing that states oil filter housing removal. I found the manuals on W124 zone for the 606 for w124 (same motor as yours in the 95 E300).

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Only diesels in this driveway.
2005 E320 CDI 243k Black/Black
2008 Chevy 3500HD Duramax 340k
2004 Chevy 2500HD Duramax 220k