Sorry, I misread your original post.
I would think there would be some sort of gasket, maybe a "donut" type between the manifold and the exhaust pipe.
Maybe go to a local Mercedes dealer and ask them to check it out. You'll need a VIN from a 2001 - 2003 SLK 320. Just find one for sale online and use that.
You could also download the service manual for your car in the TBS & How to section.