Probably a vac leak, isolate all the internals by removing the feed line going to the dash and plugging it at the vac side. Test drive the car and see if it shifts the same. If that fixes it then you have some work to do under the dash.

Old vacuum pods (piston actuators) used to switch air flow flaps tend to leak when the rubber diaphragms crack.
Also, you should verify or have someone experienced with this engine verify that you have the upgraded vacuum pump, that is an invitation for a disaster if it fails.

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'95 E320 Wagon my favorite road car. '99 E300D wolf in sheeps body, '87 300D Sportline suspension, '79 300TD w/ 617.952 engine at 367,750 and counting!