My mate has just had a difficulty with his E220 CDI. Basically it went into ' limp home' mode and a quick check with a diagnostic tool showed fault in EGR valve. A Trawl though EBay showed a replacement at £375 + VAT. Anyway, a quick removal and clean of the valve rectified the fault but the cause was suspected to be caused by running supermarket fuel.
It may be a few pence per litre cheaper but may cost more in the long run.
Mine have covered getting onto 400,000 miles, and the only time we don't use Tesco is when we're on holiday (and we tend to use supermarket fuel there too). None of the cars missed a beat, ran clean, good performance/economy and no issues.