All Mercedes-Benz alarms would arm automatically once the car is locked, either at the driver's door or trunk (on W123/6) or both front doors and trunk (W124/140).
M.B. alarms also have a check/warning light which is red and should flash intermitently when the system is armed. It is usually located at the center dash with the row of switches for the rear defrost and rear dome light.
Check if the light flashes when you lock the car from the driver's door.