I've not replaced glow plugs on this car, but have scavenged this from another MB forum: The symptoms sound correct. The glow plug light should come back on if a plug is open circuit, but it could have shorted internally fooling the check system.
On the LH inner wing, behind the washer bottle there is the glow plug control unit. Unplug the connector that feeds the loom under the inlet manifold and check each terminal with respect to ground ( car body). Each plug will be about 0.8 ohm if I remember.
To change a plug you need the car on ramps, remove the under shields from engine and gearbox, remove one allen bolt holding the aluminium air pipe to the EGR valve body and the clamp bolt for the EGR pipe to valve body and remove the clamp. Remove all the torks bolts holding the inlet manifold to
head. Pull the vacuum pipe off the EGR valve and disconnect the manifold pressure sensor and remove from the inner wing. Lift the manifold with a twisting action as this will break the seal to the stainless steel re-usable gasket and the fragile EGR pipe.
Pull the connector from the glow plug and unscrew.
Refitting is the reversal.
There have also been previous discussions here, in which the following advice came to light: To remove the intake , you must remove the allen bolt going straight up next to the charge air tube. It requires a 5mm allen socket (ball allen if possible).From the top, remove the 10mm nut securing the washer tank and lift it out of your way.Look under the intake from the side just past the center of it and you will see the EGR tube (silver corugated tube,not as flexible as it looks) with a clamp holding it on. Completely remove the bolt in the clamp (a 1/4 drive 10mm swivel socket works great) and remove the clamp.Knock the tube away from the intake just a little,and it will lift right off.