The lights for some of these come from what's known as the "octopus", which is a central light with several fiber optic cables coming from it. Apparently the central light is out, or the fiber cables have wiggled free from their mounts. The octopus is located above and behind the climate controls, and is not too difficult to get at. You have to remove the panel first, obviously, and this takes some care. Here's a link to a good pictorial for that:
http://www.benzworld.org/forums/w126-s-se-sec-sel-sd/1355995-center-dash-panel.html
You might have a look at this too...
http://www.benzworld.org/forums/w126-s-se-sec-sel-sd/1426486-octopus-dash-light-led-mod.html
It's also possible that the power window switches have lost thair lights, too-- easiest to replace the switches, rather than the tiny lights themselves. Here's another link (look for post #68):
http://www.benzworld.org/forums/w126-s-se-sec-sel-sd/1340751-do-yourself-diy-repair-thread-wheel-2.html
Best-
Dave
Best-