Hey, another '96 S500 coupe!
Got one of those myself... great car!
There are a number of places under the hood that have power. Most are light gauge wire and won't provide much current.
Without any other info, I suspect they want you to find a clean source of power that can deliver serious current without a major voltage drop... hence the connection directly to the battery.
If so, there are two connections under the hood that come straight from the battery + side. One is on the starter solenoid. The other is the "+" connector on the rear of the alternator.
Careful with these connections... they are hot all the time that the battery is connected and both can provide some serious amperage if you short them to ground. The alternator wire is the lightest of the two... and it still handles your 143 amp alternator output. Maybe one of the techs on this forum has a better place to hook in...
What kind of HID kit are you going to use? I briefly looked into these and found they had a single light source for each headlamp... so, you don't have a high beam possibility.... Have you found a kit that gives you high and low beams?
It probably doesn't matter much from a driving standpoint, but here in Virginia, if you don't have working high beams, you don't get through annual safety inspection.
Please keep us informed as you do this...