Tom,
In my humble opinion, the return on adding European lenses to the E500 assembly is negligible. The lens pattern varies little between US and European and otherwise the headlamp assemblies are to my knowledge identical.
I did such a conversion on my 95 E320. I could not see a tangible difference in light pattern. Only sharper cutoff.
E500 lenses are likely to be difficult to obtain and expensive.
Best
farrukh

Ps. I will not be replacing the US lenses on my own E500... :-)