This appears to be the ambient temperature sensor, which measures the outside air temperature. It fastens to the black climate control box (large plenum chamber which exchanges air to various locations -- defrost vents, heat vents, a/c vents). You will likely have to remove the ash tray; unscrew/bolt the ash tray housing; unscrew the wood panel that the surrounds the temperature control panel on the dash. At this point, you will likely have the remove temperature control panel as well....but before you do that...take a flashlight and see if you can look behind the control panel and you'll see the large climate control box. On the front side of this large box (facing the rear of the car), you should see an opening where the ambient temperature sensor fastens to.

I hope others chime in with photos!!

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All the best,

J. P. Mose
1968 250SL
1970 280SE 3.5 Cabrio
1987 560SL
1990 560SEL