I'm not sure why MB would make such a small convenience (illumination) an option, and based on the year, I would be more inclined to believe that there are flush-mounted lamp housings on the headliner that precluded the use of the visor lamps.

My 07 ML has this setup.

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2009 ML350 (106K) - Family vehicle
2001 CLK430 Cabriolet (80K) - Wife's car
2005 BMW 645CI (138K) - My daily driver
2016 Mustang (32K) - Daughter's car