I think the answer would be you MUST check your engine oil and how often depends on number of miles you drive and the nature of your driving. This is from the GLA owners manual and did somewhat surprise me (also manual does not state whether this applies to non AMG and/or AMG versions:
Depending on your driving style, the vehicle
consumes up to 0.9 US qt (0.8 liters) of oil per
600 miles (1,000 km). The oil consumption
may be higher than this when the vehicle is
new or if you frequently drive at high engine
speeds.