bulb fail light
I was getting the same indicator on my '92 500SEL and couldn't figure it out for quite awhile as all lights seem to have been working. I narrowed it down to a front indicator bulb, the age-old 1157 with multiple filaments. I do believe the car has a problem with multi-filament bulbs in this respect. My advice is to check those first, particularly the front turn-signals.
As a side-note, I intermittantly get a bulb-failure dash light on my '86 300E and have for years now....it just seems to come on every 6 months or so and last perhaps 2-3 days and then disappear for 6 more months...who knows!
1996 SL320 97K miles
1996 C220 130k miles
1992 500SEL 170k miles <---sold
1986 300E 216k miles <---sold