On the C-Class, the basic Thermomatic climate control system has one pollen filter, located in the engine bay, while the higher-end Thermotronic system has also an additional filter inside the cabin, in the passenger footwell area. I wonder if the E-Class has a similar setup?
Also, when ordering cabin/dust/pollen filter, note that on some models the filter for RHD cars is different to that for LHD cars (because the system is usually located in front of the front passenger area).