My '86 420SEL has the OEM alarm with a separate horn that "beeps" along with flashing the exterior lights. I was able to test my alarm the same way as one of the above replies by locking the car with any window in the down position. By unlocking the car with the door lock plunger and opening the door should set off the alarm. The S-class Alarm control module is located under an access panel beneath the front passenger carpet where the firewall meets the floor. Weak areas on most alarms are the electrical contacts in the exterior door locks that corrode after time. The usual easy fix is to disconnect the alarm module and forget it. My mechanic has told me the usual culprit for non-functioning alarms are the contacts in the door and trunk locks. Good luck.
Current: '86 420SEL, '81 380SL
Previous: '79 240D, '70 280SE, '81 300D.
Just about 600,000 miles on Mercedes products.