2003 W209 CLK, 2005 R171 SLK in UK, 1995 S124 E280 in Italy
Our 203 from new used to steam up all the time. Turned out the flaps were incorrectly fitted so it was in recirculation mode all the time. Apparently there was a service bulletin about this issue to alert the dealers.
Mine has always done it too, although not all the time. Don't use it enough to develop a pattern although it's pretty regular if I leave the car on a cold day and come back an hour or so later. I keep meaning to shut the face-level etc vents and see if that makes a difference but always forget.
If your AC is working properly, use it all the time and see if things improve, doesn’t matter if the heating is on hot or cold setting.
Mercedes recommend using the AC all the time to prevent windows steaming up.