Not on a W124. I just did the rotors on mine, just a set screw. I had to beat the **** out of the to get them to brake free. I even had to get a BFH, the mallet wasn't doing a thing. Good thing I was replacing them.

Just to relate to the subject, I'm redoing most of my 300Es brake system. Rotors, pads, calipers, hoses, all the rear steel lines and parking brakes.
I used ATE rotors & pads on the back, Centric rotors & bendix pads on the front. The calipers were all Centric rebuilds which turned out to be from OEM Girling & ATE cores. I paid the $96 for the 3 rear factory steel brake lines assuming they would be pre-bent. They weren't, so I'm returning the the two short L & R ones ($14 @ the parts store) but I'm going to use the ($38) factory line that routes to the rear as store doesn't have a single line that long.
My parking brake was in pretty bad shape, lots of rust with the shoe material crumbling and falling apart.

I hope using Centric wasn't a mistake, I have no experience with them.