On top of the fuel filter in the CDI (and later) there is a valve that can be loosened and tightened. I've read/watched a few tutorials on how to change the fuel filer, but have seen no mention made of using that valve. PO of my car changed the filter many times and never touched that valve.

Is it for bleeding air from the fuel system and under what circumstances might that be needed?

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14 E250 Bluetec 4Matic "Sinclair", Palladium Silver on Black, 157k miles
06 E320 CDI "Rutherford", Black on Tan, 175k mi, Stage 1 tune, tuned TCU
91 300D "Otis", Smoke Silver on Tan, 144k mi, wastegate conversion, ALDA delete

19 Honda CR-V EX 70k mi
Fourteen other MB's owned and sold
1961 Very Tolerant Wife