I don't know if your year is different, but the speed sensor for the speedo/odo in a '86-89 560SEL trans goes into a hole on the left side of the case, near the rear, about 2/3 of the way up from the bottom. It's about the side and shape of a cigarette lighter.

The connector marked "A" on the harness shown at http://www.carcentric.com/speedoharness.jpg is the speedo/odo sensor I'm referring to.