Hi Ethan- Do you know if your car has it's original engine wiring harness? In case you did not know, the originals are faulty and must be replaced sooner or later as the insulation around the wires rots from heat in the engine compartment. This wiring problem can manifest itself by all kind of electrical weirdness, idiot lights like check engine, etc.
Your problem with the bulb out indicator may or may not be tied directly with the wiring harness, but you should inspect your harness for cracked insulation around sensor connections under your hood.
The harness is about a $1000 part, many guys do it themselves--It's supposed to be relatively simple if you approach it one connector at a time. I'm going to have to do mine in the next few months
Some mechanics will not attempt to trouble shoot your model and year MBZ unless the harness has been replaced...In your case, I would double check all exterior lights (even third brake and license plate lights as well as all side markers) as well as all the applicable fuses (simple stuff). You might check each bulb socket to rule out moisture problems.
Let us know what you find.
Good Luck,
-GH