Turns out my problem was with the oxygen sensor, which was just 1 year and <10k miles old. However, I had an exhaust manifold leak which wreaked havoc on the sensor. Welded up the manifold to fix the leak, replaced the oxygen sensor, and all is good now. No codes came up, but the voltage for the oxygen sensor was all over the place even at idle which helped pinpoint the problem.

It was an interesting problem and solution, I hope this helps someone else. What baffled me the most was that I did not know the oxygen sensor played such a big role on cold start in open loop mode so I did not even consider that initially as an item to look at.

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1985 190E 2.3-16 Euro