Nope, there are no "door open" sensors, or bells or whistles on Mercedes-Benz cars. I have been told that M.B. engineers consider them just plain tacky and useless.
At least in Euro models, when you lock you car, all locks will lower fully when all doors are properly closed. If a door is ajar, the lock will refuse to lower.
This is about the only way to tell if a M.B. car door is not properly closed.
Oh, wait, also the dome light refuses to go off unless all doors are properly closed.
CL 500, 1998
S 500 L, 1998
E 320 T, 1995