Something is wrong with your current set-up. Your meter must be in series with the circuit. Verify the circuit conceptually and then with an ohm meter. Your test lead should have male and female connectors the same as the eHA connector. One goes to the EHA and the other hooks to the EHA connector. From the circuits stand point you have just added 15 inches to the two wires.
In reality one wire is just an extention. The other is cut and (in the MB harness) the two ends are exposed in the third connector. The two ends must be hooked together for the circuit to work. That connection must be your multimeter in the Amps position. In the volts or resistance position current does not pass through the meter leads. In the amp position it will.
Since you are getting proper readings out of the duty cycle diag conn, it is unlikely that you wouldn't get some current flow.
You should look up the proper key on engine off current in the CD. The large majority run 20ma. the next largest group run 10ma. I don't know of any zero ma ones. Keep working to be sure of your circuit connection while looking for that key on, engine off current.
If there really is none, its a big problem. Use your hook up to view the idle speed valve. It should have around 6-700ma.
Bosch Master, ASE Master, L1
33 years MB technician