Did you change the switch (electrical bits on the rear of the lock assembly), the tumbler (where you put the key), or the lock assembly (aluminum piece that extends down into the steering column)?

On my 300SD, it was the column lock bar in the lock assembly that was worn and jamming when the key was removed. I replaced it, and reused the same lock tumbler, with no binding issues.

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-Josh
Testing the cheap Mercedes axiom, one bolt at a time...