Most recent auto I drove was indeed a Merc, but a BMW also didn't change instantly (and I was at the appropriate revs for the change).
Okay what scenarios are you talking about?
BMW giving it beans will take a split second to respond as will a manual over ride in auto mode. If the car is doing other stability control stuff then you can have a half second gear change lag because the ECU doesn't want you to unsettle the car. In full manual mode it'll be much more willing to change down more-or-less instantly but the ECU will still delay a change if it think this will cause issues for its stability aids. What it will never do is completely block a change unless you're trying to drop to an rpm in excess of the red-line.
Merc boxes will flat out refuse to change in situations for no apparent reason in full manual mode (e.g. absolutely no response from the 'box when straight line, neutral throttle and at a speed which would deliver say 6000 rpm in the gear you're going for)