Had that same problem on my 300E, except the bulbs worked fine...the dash light came on solid during the day (headlights off) and would be okay with the headlights on.
I found that one of the metal strips on the RIGHT side (in my case) had a connection problem...I took a needlenose and twisted it into shape until it stopped giving off the false indicator.
It ended up being a non-issue when I backed into a truck and cracked the taillight lens...bought a complete assembly so the problem disappeared for good!
Make sure the bulbs you use are the correct wattage...usually embossed on the housing next to each bulb receptacle.
2009 ML350 (84K) - Family vehicle
2001 CLK430 Cabriolet (71K) - Wife's car
2005 BMW 645CI (124K) - My daily driver
2012 Mustang V6 (60K) - Daughter's car