On my 11 year old CLK220 glow plug light goes out I start the engine ok it comes on again for about 40 seconds then goes out, it has done this for about 18 months now and the engine starts quickly even down to -3C so I am not going to worry about it.
If your car has a dpf i would worry
This can stop the regeneration process leading to a nasty big bill in the future, also puts extra strain on the battery and starter
If the exhaust pipe is sooty inside , you don't have a dpf . A recent comment by Steve from Avantgarde was saying that the GP,s are not just used for starting , they run constantly on cdi engines...even at motorway speeds . So I would get them (or just the defective one) fixed asapI've never seen a CLK with a DPF, not saying they don't exist but they were not fitted as standard. And it does not put more strain on battery or starter either, they start first time even with the glow plug light staying on.