On my W126 gearbox there were marks on both the shaft and the arm. You should always make your own marks if there aren't any there. I don't think being off by 1 or 2 splines will make a huge difference, but beyond that I think you could run into issues as it will make the lock-to-lock distances different from left to right. You should do a search here as you will probably need to center the gearbox and then center the steering wheel before reassembly.

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08 W251 R350
97 W210 E320
91 W124 300E
86 W126 560SEL
85 W126 380SE Silver
85 W126 380SE Cranberry
79 W123 250
78 W123 280E
75 W114 280