Not really sure with SLKs, but a previous 300CE-24 Cabriolet I owned had a similar problem and it turned out to be a relay. I would not be surprised if a relay is giving you trouble, since most of the electrical problems with M.B.s can always be traced a stupid relay that is stuck or not working properly.

A. Rosich
S320, 1998
E320T, 1995