I have a 99 E320 and have HID which I made. I bought a clear lens Depo
headlight, E55 bixenon projectors, Hella gen3 ballasts and Phillips D2S bulbs.
I did not use supplemental wiring harness, though I did throw in additional
inline fuses.
I figured that since HID was an option and they used the same main wiring
harness in the 99 E320 be it halogen or HID, what I needed to do was to use
the same (or more efficient) ballast and it should be fine. The ballast is the
big load....and what *may* trigger the BULB MALFUNCTION code if you don't
have the dealer change from halogen to HID setting. my BULB MALF light
comes on about 4x a year....when it is really cold. To-date, I've not yet
changed the light setting to HID.

The super safest would be to fabricate a wiring harness. No one will ever
be faulted for that.
uhm....i'm intrigued with the H4 bixenon mentioned above. since there really
is no such beast, I'm wondering what it really is. is it still a switchable, dual
filament bulb....or a single filament with moveable cutoff....or what?