I experienced the same problem. It turned out to me a $35 fuel sending unit. I am still puzzled at why my low fuel light does not come on, but when I turn the key(without starting the car) it lights up.
1987 mercedes 300E
1995 e320 conversion(hated the 300e grill)
Monochromatic Paint (Custom Blue)
Flat Badged (front)
custom "carbon fiber" console
18 inch HP EVO rims
Sold! Now I drive a Monte Carlo SS