Personal opinion: I'd deal with the intermittent costs as they come up rather than be 100% out of the money in 2-3 years. My guess is I would still be ahead after 3 years esp. if one takes proper care of the vehicle. $800 is still cheaper than $2500, plus the work is warranted for one year (parts and labor).
It may also be worthwhile to research and get references of reputable independent MB shops in your area. They usually purchase OEM replacement parts from the local dealer at wholesale prices and the labor rate per hour is most likely reasonable. Moreover the total repair price may be subject to some bargaining/discount if you're a "regular" customer, i.e., bring the vehicle in for routine stuff like engine oil and filter change, brake pads, etc. then they're more inclined to give you a break on the price.
Ditto on etyu's point ... I've never purchased an extended warranty coverage on anything I've purchased in the past ... feel they're a big profit item for store/salesman ... been fortunate with past purchases of cars/electronics/etc. ... example, owned 98 SLK 230 for 11 years and did not buy extended warranty when MB warranty expired ... found great repair shop specializing in German cars (Alpharetta German Auto Repair) in Alpharetta, GA ... uses only MB parts, labor is about $35/hour less than MB dealer, and very good reputation (mechanics at two local MB dealers expressed favorable opinions of the shop) ... also, these guys back their work if you're not satisfied with results ... turns out I had to invest about $4500 in actual repairs (not including routine maintenance) in past 15 months so I made repairs and sold car to purchase current 05 350 at Thanksgiving 2009 ...
Purchased SLK as a certified, pre-owned so it came with a 1-year warranty from dealer ... dealer gave me list of available extended warranty options (can purchase up to the date the current warranty expires) ... see below info from handouts given by dealer:
Mercedes-Benz Program (manufacturer)
12 months/total 100K total vehicle miles $1,495 w/$0 deductible
24 months/total 100K total vehicle miles $1,925 w/$0 deductible
Covers: engine/drivetrain, audio/nav system, steering/sustpension/brakes, electrical system, climate-control system, central-locking system, convertible/retractable roof system, other (wipers links, power seat cables, seat belts assembly, window regulators plus more)
Automobile Protection Corp. (thru dealer)
Purchase in blocks of time/miles; $250 deductible
12 months/12K miles $1,659
24 months/24K miles $1,901
30 months/30K miles $1,991
36 months/36K miles $2,192
Handout does not give info on coverage but the salesman told me it covered the same as the MB system (above), with major difference that MB program only goes an additional 24 months max while this particular program goes up to 48 months/50K miles ($2,649).
Haven't decided yet if I'll purchase extended warranty or not ... depends on how well things go this first year of the dealer-provided warranty ...