I have a 1992 300E that does the same thing. In the manuel it states the the delayed shift from 1st to 2ed is intended. The tranny will shift like this until it has reached operating temp, after that has been reached it will shift smoothly.
Also, unreleated to the trans question, check the head gasket for leaks, all the straight six's had a problem with this and it will cost around $1000.00 to fix.
Good luck,
Brian