OVP- overvoltage protection relay in 124 bodies is usually situated near control unit behind the battery. If i understood right, your cars code is wdb126125. One plase for the OVP relay in 126 is to the right (reffering to the direction of travel) of the master brake cylinder. There is another place for it also, somewhere on the wall of the engine compartament. This relay always has one or 2 fuses on top of it.
I have not worked on these cars because in Europe they are quite rare, but i had a similar problem on 124. This was a gasoline car so even after removing the key out of the ignition lock engine was working. Because the diesel engines are shut down by vacuum (not electically like gasoline engines) all the lights come on because the 15th circuit is stuck. It begins in the ovp.