I do not know the specifics regarding your car's audio system. However, most newer (since model year 2000, anyway) Mercedes I am familiar with never completely shut down. Different components may shut down completely, but may be on timer delays (usually 5 minutes - things like a trunk opener, garage door opener, rear window shade), shutting down at some time after the ignition is switched off, or may shut down when a triggered by something like a door opening.
As to your audio system, reading your owner's manual closely may give you a clue. First, as with virtually all modern systems, it has a switched and an unswitched power source. The unswitched source powers memory for settings such as those for stations, sound, and the like. It is always on. Then there is a separate switched power supply that turns the rest of the audio system on or off with the ignition (or with a switch set by opening or closing a door, as it does with COMAND systems).
Your installer would have done better by locating a fuse for a device that shuts down when you want it to, and using a fuse doubler there to connect the dashcam; or alternately, to find a location that you could add a fuse holder to. A third option would have been to connect it to the cigarette lighter power supply, since in most cars it will work only when the ignition switch is on (something you can check easily; will the lighter heat up with the ignition off?)
The danger in connecting to the wrong device, especially in the audio system, is that it could prevent the CAN bus from shutting down. Mercedes are designed so that if you play the audio system too long with the battery not charging, it will shut the audio system down so that you have enough power for just one start (in my S500, this was after about 45 minutes). There would be a warning in the multifunction display saying the system would be shit down in X number of minutes unless the battery was charged (which would be done by starting the car). What we don't know, with the 2 hour operation time of your dashcam after shutdown, is whether this is happening to your car.
The upshot is, there are better places to connect it; find one that shuts down with the ignition, and connect it there.