Mine lights up just like all the other switches. There either has to be a fiber optic for it or a bulb in there. I'll pull mine when I gett he car back from the windshield replacement and check, since I have a 1992 300ce it should be the same.
'92 300CE - Sold
2004 C240 - C7 Wheels
2015 ML350 - P1, Pano, Ash poplar wood, Sport Dinamica interior, Running Boards Keyless go.