Maybe there is something wrong with your ignition switch. With heave key chains, they can wear over time.
To my knowledge (atleast on the new MBs), the climate control should not operate in ignition switch 1, only 2.
That is:
0 - key in ignition, no pwer
1 - power to most consumers
2 - everything on (computer on) (this is when engine is running)
3 - start

Are we on the same level?

__________________
2006 E350 w/ 155k miles (Daily Driver)

Previous:
1993 300E 3.2L Sedan w/ close to about 300k miles
2003 E500 Brilliant Silver (Had 217k miles when totalled!)
1989 300E with 289,000 miles (had for <1 yr while in HI)
03 CLK 500 cabrio (Mom's)
2006 C230k (Dad's)
1999 S420 (Mom's/Dad's)
2000 C230k Sport sedans
2001 CLK320 Cabrio (Mom's)
1995 C280 My First Mercedes-Benz... (155k miles. EXCEPTIONAL AUTOMOBILE. Was Very hard to let go of!)