you may want to do a search since brake upgrades are a really hot topic.
That being said, let me share with you information that I've managed to find out.
The 500E used 3 different types of calipers throughout its run.
Initially it used aluminum Brembo calipers and 295mm bi-directional rotors. These are easily identifiable as they are painted gloss black and have a white MB star painted on them. Incidentally, these are the same brake calipers that were used on the 190E 2.5-16 Evolution II and have Brembo reverse embossed on the backside of the caliper.
About midway though '93, they switched to cast iron calipers and a 300mm rotor, apparently off of the 500SL. These were an upgrade to the brembos as there was some concern about noise and warping rotors under heavy use.
Finally, they once, again upgraded the brakes. This time to 600SL brakes. These again, were cast iron calipers and used the same brake pads as the 500SL brakes, but the rotors were 320mm and uni-directional. This means that the vanes within the rotors were cast in such a way as to aid the cooling of the rotor as a result of the faster speeds and greater weight of the 600SL.
By using the same pads but a larger rotor, these brakes have the same swept area, but are able to exert more stopping power as a result of the increased leverage on the rotor.
NOW, in order to accomodate all of this and to deal with the greater stresses associated with the speeds and hadling that a 500E is capable of, the hubs on a 500E are from an R129 (500/600SL). if you examine the part numbers for the hubs, etc, you'll see that they begin with 129.
It is my understanding that the 400E DOES NOT share these components. The hubs on a 400E are W124 components and are closer in design to the stock 300E.
The proof of this is that the 190E 2.3-16 and 190E 2.6 have upgraded braking systems which are lifted directly from a W124 300E, and a 400E brake upgrade on either of these cars is a direct bolt-on.
It therefore stands to reason that a 400E shares the same components as a 300E.
Since upgrading the brakes on a 190E 2.3-16 or 2.6 to that of a 500E would require changing almost everything from the steering knuckle out, the only conclusion that can be drwan is that upgrading a 400E to use 500e brakes would require the same amount of modification.
If you go to a '95 E420, those brakes are, i believe, only about 3mm thicker than what exists on a 400E so, unless you get the calipers for free (or close to it) it's not really worth the effort.
Sorry for the lengthy post, but hopefully this answers your questions.
1) 500SL calipers and rotors are possible, but require more effort and money than it's probably worth unless you race your car.
2) see answer to #1
3)bolt on, but minimal gains
I am by no means any kind of authority on this topic, so feel free to get further opinions. In fact, I encourage it. However, if I were in your position, I'd leave the brakes as they are. The 400E already comes with 4 piston calipers and 11.6 inch rotors which is still respectable. If my sources are correct, these calipers are also used on the 300CE 2-door coupes.
'94 W124.036 249/040 leder; 8.25x17 EvoIIs
'93 W124.036 199/040 leder; 8.25x17 EvoIIs, up in flames...LITERALLY!
'93 W124.036 481/040 leder; euro delivery; 8.25x17 EvoIIs
'88 R107.048 441/409 leder; Euro lights
'87 W201.034 199/040 leder; Euro lights; EvoII brakes; 8x16 EvoIs - soon: 500E rear brakes
'70 R113.044 050/526; factory alloys; Euro lights