Ditto what Ken300D said for my 300E, it lights up with all the other warning lights when you switch on, so I'd suspect a bad bulb.
My car requires disconnecting the speedo from the tranny to be able to pull the cluster... not sure I'd do it just to replace the low-fuel light, as it's just a backup for the guage. Well, actually I probably would, I have a sickness for perfection too.
Anyway, there is a replaceable lamp, as I recall it's easy to access once you've pulled the cluster.
I believe for your car it is part number 000 545 34 19, which is a 1.2W lamp used in a variety of places. E-mail Phil at PartsShop to make sure.
Note that it's not the same as the row of warning lights along the bottom -- those are 2W bulbs.