Yes, all MB turbo's have a waste gate (as opposed to a blow-off
overpressure valve). If you hear it, your turbo case is busted. In
fact, I do not know of an automotive application that does not have
wastegate boost control. Unregulated, a decent modern turbo can
produce in excess of 22 psi in the intake, much too high for most uses.
A waste gate "wastes" exhaust around the turbine. Very often confused
with a pressure relief valve on the pressure side (most later models
have one of those, too, although it vents into the intake and NOT to
the outside air). You won't hear that, either -- these are luxury
cars, not race cars. That "air recirculation" valve is there to dump
boost under conditions where it's not needed (light throttle highway
driving, for example and deceleration) and allows the turbo to stay up
to speed. If you hear a whistle when you lift your foot, almost like
brake squeal, fix the intake hose, it's loose!
Peter