To close this out, I have verified there are no gaskets between the manifolds and the down pipe. MB uses (at least on the 99 SL500) two bolts into captured nuts on the manifold themselves. There is a convex radius on the manifold and a concave radius on the down pipe with a flange that pulls them together. Nice setup.
By the way, I got a set of cats (4) with pipes from Rock Auto for about $1.1K. They are Davico brand. They bolted up well, but are not in the same league quality wise compared to the MB parts.
I had to chase the o2 bungs with a tap as there was slag on the threads which wiped out a good o2 sensor. I didn't see it, and before I could feel there was an issue (installing by hand) it had grabbed the o2. I couldn't get it to back out without a wrench, which of course took out the threads, costing me a downstream sensor. The welds are poor compared to the MB parts. They do seem to work fine, and stopped the gravel sound I was getting with the factory cats.
If you can find them, I'd go with a MB set of pipes. Magnaflow makes them, but they make the MB parts look downright cheep.
Dan