It's already broken or it is the earlier style dipstick.
There is a hinged lift tab [ missing on that one] that you must swing up to release the locking clamp on the dipstick tube before you can lift the stick out.
It is missing on your picture, so the dip should be able to lift out from the tube.
Might even be the wrong dipstick, as the original were Black, not red.
The pic is not clear, but see that black tab under the red cap ?? ..it is hinged to the red cap andshould pull out and up [ as Watts said, it SWINGS up and out].
Here is the Original and you can see the finger tab that is mentioned:
http://catalog.peachparts.com/RenderScriptTemplate.epc?_cmd=epccat_VehicleAAA&cookieID=2FG17RJ3A2FY0OA5GL&yearid=1993%40%401993&makeid=MB%40%40MB%40%40X&modelid=300%2DE%2D003%40%40300E++2%2E8&catid=J%40%40Transmission&mode=PA&subcatid=J2024@@AT+Dipstick&source=www.peachparts.com&clientid=catalog.mercedesshop