I was having a similar problem in my W126 1986 560 SEL. Check the hose that goes from the coolant reservoir to the overflow reservoir (which is located in the wheel well.). It's the small hose that looks as if it goes into the wheel well. You need to remove the passenger fron wheel and there are about 10 bolts you need to remove from the inside of wheel well. Once you do this, you should see the hose going to the overflow reservoir and check to see if its connected/cracked. I found that in my car the hose was just "stuck" thru the hole into wheel well and not long enough to connect, so I got a new hose and it worked.
I was having trouble with this in my car and it ended up getting worse, by running hot and then I had to replace my coolant reservoir (due to a crack in the seam that was not visible to they eye upon removal and examination).
1986 560 SEL