Mercedes R Klasse Diesel Engine Trouble Resolved

That's a plausible theory, especially after the fuel filter change. The fuel system on those diesels can be sensitive. Did you ensure the new filter was properly seated and primed before starting the engine? Air in the fuel lines can cause rough idle and power loss. A faulty fuel regulator or pressure sensor could also be the cause, but check the simpler things first. Have you had the error codes read? Knowing the specific code will narrow down the possibilities. It could be anything from a faulty fuel pump to a blocked fuel line. Let me know the error code if you get it.

I did prime the filter, or at least I thought I did. I did get the error codes read. It points to a fuel pressure regulator malfunction. Is there a way to test the pressure sensor or fuel regulator itself before replacing parts? Do you think the fuel pump could also have been damaged when the air got in?

A fuel pressure regulator code after a filter change does suggest that's the cause. While testing the sensor and regulator is possible with specialized tools, it's often difficult, and the results can be inconclusive. Given the code and your description, I'd advise taking it to a trustworthy workshop, particularly one that specializes in Mercedes diesels. They'll be able to diagnose it properly and confirm if the regulator is faulty. As for the fuel pump, it's unlikely to have been damaged by air in the lines unless it was run for a prolonged period with significant air ingestion. But the garage should be able to assess that too.

You were spot on! I took it to a local mechanic, and it turned out to be a defective fuel pressure regulator. They replaced it, cleared the error codes, and the car is running smoothly again. The check engine light is off, the rough idle is gone, and the power is back. The total bill was only 45€! Thanks for your advice; I really appreciate it!