Well first off, realistically most Mercedes owners are NOT the type to fix a flat on the side of the road, so that probably factored into Mercedes' design. Also, since it's such a small car putting a spare would eat into the already small amount of space. And mess up their CAFE calculations, which is probably a major consideration for Mercedes to create and bring the CLA for the US market.
Personally I would wait for roadside assistance. I know how to change a flat, but I do not want to get back into my >50k car after getting all dirty changing a flat.