You could use the best oil in the world, and it would still turn black immediately after putting it in.
Its the soot that resides in the engine... something along the lines of carbon black... I guess thats one of the reasons that carbon black makes such good ink
The reality is that a diesel oil... whether a syn like delvac 1 (a.k.a. Mobil1 turbodieseltruck) 5w-40, which is highly regarded, or a 'standard' diesel oil like chevron delo 400 15w-40, mobil delvac 1300 15w-40 or whatnot, will have an additive package designed for what your engine is... an EGR equipped diesel.
Now, I have full faith in Daimler engineering for selection of their oil. They surely have made a good choice when selecting Mobil 1 0w-40 229.5 spec. However, IMO, for a diesel, you can do better.
Id suggest staying with a syn oil, even if it costs a bit more $$$. The mobil1 product with a diesel additive package is about as good as youll get... However, there have been great things said about schaeffers series 9000 (blend), and would consider using that too if you could access it.
Don't worry about color... buy a good synthetic 5w-40 API CI-4 rated oil... you can go to wal mart and get the mobil product, or if you want to save a bit, try the rotella synthetic 5w-40 diesel oil... and go with it.
Our last few oil changes in my father's 96 E300D have been EXCELLENT using the Mobil1 product, and Im sure youll see the same. We did the OE specced 7500 mile change, but wear was so low, and soot loading so low, that we went to 10k... same deal. Now we will likely just change once a year.
Hope this helps,
JMH