What is it
 

I have a 96 e320 with the 3.2 inline 6 cylinder engine, what is the unit on the front of the engine under the alternator and what does it do?

That would be the smog pump if I am not mistaken.

Its job is to engage at initial start and pump air into the exhaust to thin out the pollution in the exhaust until the motor is running well.

Yep. 96 should be a full electric pump. Older ones had a belt driven pump with a clutch.

It tends to whine for a minute or two when the car is started cold, is this normal or is there some service it requires such as a cleaning?

Normal. Sometimes it will turn on again after driving a bit to test the OBD 2 system.

Sounds like a quiet vacuum cleaner.

There is a screen on the bottom / back , just have a loot to see if it is grease covered.

There is a valve between the two exhaust manifolds, this is operated by a vacuum solenoid at the front of engine ( under the black plastic cover ) . Make sure you are getting vacuum at the manifold valve when the pump is running.