On my 300SD all the lights went out at once too, however on my 83 300SD there is one main lightbulb in the back of the center console behind the acc unit that has a TON of fiber optic lines run off of it. This one light provides the lighting for my gear shift selector, my a/c vent lighting, and all the switches above the acc unit. My acc unit has seperate lighting as do my window switches. I beleive all, if not most window switches have internal lighting so a fuse may very well be your problem.
hope this helps,