I've had the same behavior. 2016 4x4. I notice it most above 6K feet elevation, so I have assumed it was turbo lag. Generally not a problem, but it borders on ridiculous sometimes--case in point--I was parked at 10,200' last october, temp was not cold (maybe 50F), and I went to turn left up a small incline, would not normally have needed 4x4 let alone low range, and hit the gas pedal (yeah I know it's a diesel), and got no increase in RPMs. Van felt like it was detached from the accelerator pedal sensor--no change in any apparent engine response. Put it into neutral and then 4x4/low, and then was able to get up with no problem.
Earlier this month did a 10 day trip to the Andes/Peru--and spent considerable time in newer sprinters (2015 and newer), and they absolutely rocked at high altitudes. I am talking up to 14,500' with no problems (at least from a passenger's point of view). We did sketch dirt roads up to 13.2k with no problems. They were all 2wd and we did some stuff that I would have been more comfortable activating 4wd on.
There were some differences though: 1)they were all manual tranny; 2) probably had no DPF/SCR either (I wanted to check under the hood/under the van but restrained myself). But on #1, the benefit of that of course, is that from the start you can rev to 1500rpm or so and then ease in the clutch, which puts the engine/turbo into more of its sweet torque spot. I suspect the issue we are all seeing is the product of automatic trans (5spd), and probably a somewhat delayed throttle response/turbo lag for emissions controls.