If you try to adjust the steering box, you would turn the allen clockwise to loosen it. Just backward from what you would think. But I doubt that is your problem if the steering returns to center as it should. I would check the power steering fluid and filter, belt, and steering shock. If the car squeaks when you bounce it up and down then check the upper and lower ball joints on both sides. My 84 500SEL is a little hard to steer at very low speeds or stoped but drives like a dream when at highway speeds, which is what these cars were designed for. My 91 300D steers easier, but it is 7 years younger.
How long have you had this car? Has it always been this way?
Paul

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84 500 SEL (307,xxx miles)