Can I use thinner oil Penzoil 5W-40 or any other penzoil oil?
Yes, you can.
However a 5W-40 oil is most probably a synthetic oil and they are not easy to find. The Pennzoil 5W-40 you mentioned is probably the Pennzoil Synthetic European Formula 5W-40 and is not widely available.
The Pennzoil 15W-40 you are using is probably their universal oil that is for both gasoline and diesel applications (with API Sx/Cx). This is an excellent oil for your engine. If you search around, there are other members and myself (1997 E320) use various 15W-40 in the M104 engine. The brand could be Chevron Delo, Mobil Delvac, or Shell Rotella.
I do not know where you live. If you are not in a very cold area, the 15W-40 is perfectly fine and you can run a 5000 - 7500 mi change interval or 6 - 12 months, depending on your comfort level.
If you do live in a cold climate (as where I am) and want a thinner oil, there are various 10W-40 oils you can use. The Vavoline MaxLife is highly recommended. Or if you like the diesel oil (they tend to keep engine clean due to the extra detergent and additives), Shell Rotella comes with a 10W-30 and it is slightly thicker than most other 10W-30 oils. Most High Mileage 10W-30 oils are also a little thicker than the usual 10W-30s. I would stay with a XW-40, though.
Basically, that engine will not have oil related issues if you use a reasonably quality oil and change at reasonable intervals.
The reason many people do not recommend a thin Mobil 1 type of synthetic oil xW-30 on this engine is because the engine tends to leak oil. Mercedes have updated the head gasket many times but some still leak and more often is the leak coming from the front timing cover.
If you do have a leak (I hope not), Mercedes actually released a TSB for this. When you fill the engine with oil, do not fill more than half way between MIN - Max. In another word, just keep it a little below the half way mark between MIN - MAX and the leak will be much slower.