Yes they do. In the earlier cars it was only for controlling the EGR system. In the W210 it is used to control the injection pump. They are drive-by-wire vehicles. There have been a few threads on this forum of W210 diesels dying while driving and being solved with a new CPS.

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Current stable:
1995 E320 149K (Nancy)
1983 500SL 120K (SLoL)

Black Sheep:
1985 524TD 167K (TotalDumpster™)

Gone but not forgotten:
1986 300SDL (RIP)
1991 350SD
1991 560SEL
1990 560SEL
1986 500SEL Euro (Rusted to nothing at 47K!)