Gentlemen: I had the same problem with my 1985 300SD--same basic 126 chassis as yours. I tried in vain to find a bulb socket in the vicinity of the shift indicator. I even removed the damn plastic indicator strip (PRNDSL) in the console which has a black wire that diasappears way up behind the ashtray area. I couldn't figure out how the damn thing was illuminated. Eventually I gave up and put it all back together.

I mentioned this to a mechanic at the local Mercedes dealer and he just laughed and said the black wire attached to the indicator is actually a glass (fiber optic) cable. Light from a conventional bulb is directed through the glass wire to illuminate the letters in the strip. He told me to follow the wire to its source behind the ashtray area and I would find the "bad boy" bulb. Haven't pursued it yet, but if he was telling me the truth, I assume you will find the fix appropriate for your car as well. Good luck. John Downey