It's due to something known as a parking "pawl" inside the tranny.

The parking pawl locks the transmission's output shaft to the transmission casing by engaging a pawl (a pin) that engages in a notched wheel on the shaft, stopping it (and thus the driven wheels) from turning.

My wife constantly complains because I have a tendency (from my stick shift days) to keep the brake pedal depressed even after I put the car in "Park". Then I release the brake, and of course, she's getting out of the car as it lurches backward.

I noticed that this is always been the case on the W124. I don't think it's age, as my '01 and '07 do the same thing...just not as much. I would guess it's just tolerances...

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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