In the Netherlands we install a lot of after market alarm systems in benzes (we have some freaky insurance companies that think that the MB factory alarm is not good enough).
It is not difficult to install an after market alarm system in a W124; it is rather easy as long as the shop knows what it is doing. A nice detail for the alarm would be to replace the driverís door unlocking pin with the led that comes with the alarm (I had/have that on my car). It looks rather professional as well.
1991 250D...I think that the 91 models were already equipped with the "comfort schaltung" and therefore it should be possible to connect the alarm system to the power windows and roof.
with a minor 600+k