I am buying a 2004 CLK-320, a demo with 5K KM from one of the local Mercedes dealership.

The owner manual mentions a break-in period of 1,500 KM. This car has been in service since Oct, 2003 and was driven by a MB salesman and probably a few customers. Of course, I am not sure if the car has gone through the proper break-in procedure.

Do I have anything to worry about?

It is very unlikely that there is anything to worry about. While I think it is better to follow the factory recommendation, there are others who don't and have not had anything bad happen.