If it does not light up when the key is in the on position (all the other dash lights on) its likely the bulb (or some previous owner put some black tape over it).

Pull the cluster and switch blubs with one of the other malfuntion indicator lamps and see if the CEL then comes on when you turn the key to "ON".

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Daily Driver: 02 E430 4MATIC
In the family: '03 E500 // '04 ML500 // 64 220SE