I sometimes think that the dash light has ESP or a crystal ball. The dash light on my '94 E320 also lit up a few weeks ago, and, like you, I couldn't find any burned out bulb. The dash light didn't come on the next few times I drove the car, but a few days later it lit up again. This time there _was_ a bulb burned out (one of the rear side marker lights).
I believe the indicator light on the dash lights up if it sees an imbalance in the resistivities of the lighting circuits. In your case it may be a bulb with a higher resistance on the verge of failing. Are any of your lights unusually bright?
The left side only bright tail light was explained to me as a safety feature to prevent people from rear-ending you while passing you in thick fog.