All the dash lights should go on momentarily to show the driver that the indicator bulbs work. I don't believe they all go on and off at the same time. The brake pad wear indicator light is probably behaving normally.
I don't think you would have posted if you didn't sense you had a problem. Did the light behave differently before, or did you just acquire a pre-owned vehicle?
95 E320 Cabriolet, 131K