This post is a moot point for Acky since he's figured it out, but basically, the alarm configuration on W124 era cars is such that the alarm is not connected to the lock mechanism or the lock buttons, but to the key cylinder. There are micro switches inside the cylinder assembly which arms/disarms the alarm.

One further note re: the key cylinders - that are NOT interchangable from left to right.

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'94 W124.036 249/040 leder; 8.25x17 EvoIIs
'93 W124.036 199/040 leder; 8.25x17 EvoIIs, up in flames...LITERALLY!
'93 W124.036 481/040 leder; euro delivery; 8.25x17 EvoIIs
'88 R107.048 441/409 leder; Euro lights
'87 W201.034 199/040 leder; Euro lights; EvoII brakes; 8x16 EvoIs - soon: 500E rear brakes
'70 R113.044 050/526; factory alloys; Euro lights