Exhaust leaks are a pain... Sorry, but you just have to get in there and track it down. More than likely one of the gaskets are leaking.

I would move from the easiest to hardest. First thing I would do is make sure all bolts and O2 sensor are tight. If everything appears tight I would try to inspect the donut gasket on the back of the manifold (from your video it sounds like it is closer than the engine than that, but I would still check). If leak is still present, I would remove exhaust manifold and hopefully find where one of the gaskets between the engine and manifold are leaking. Worst case is you have a cracked exhaust manifold and would have to replace it.

Gaskets are pretty common online - I did not check any local stores, but I assume you can order them in too: More Information for VICTOR REINZ MS19393

Used exhaust manifold:http://www.ebay.com/itm/2004-CHRYSLER-CROSSFIRE-RIGHT-PASSENGER-SIDE-EXHAUST-MANIFOLD-HEADER-OEM-/121124839709?pt=Motors_Car_Truck_Parts_Accessories&hash=item1c339a611d&vxp=mtr
I would do some searching for exhaust manifold or header upgrades. If I remember correctly there was a "steps for removing manifold" somewhere on here, or possibly on the SLK forum. I think (double check before you do it) the easiest way is to loosen the motor mounts and jack the engine up on whichever side you are working on.

Once again, good luck. I go through a bottle of Liquid Wrench whenever I work on exhaust. I soak every bolt for about 3 days in a row prior to trying to remove anything.