The plug for the aux pump is right next to the battery. Look down next to it and you'll see a plug sort of clipped to the steel bracket that the hood switch is connected to. That is the plug for the Aux pump.

To test it, set the heat to MAX on Defrost and manually set the fan to low. Turn the key to RUN but don't start the engine. You should be able to feel the Aux pump and feel it vibrating if it's working. If it isn't, separate the plug and see if you have 12V present on the control end of the plug. If you do, the pump is probably seized or failed.

I'd still expect you to get some heat even if the Aux pump is bad. Did you install a genuine MB Monovalve cartridge? The aftermarket and MTC ones are known to be weak and "suck closed" when you actually want heat.

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Current stable:
1995 E320 157K (Nancy)
1983 500SL 125K (SLoL)

Gone but not forgotten:
1986 300SDL (RIP)
1991 350SD
1991 560SEL
1990 560SEL
1986 500SEL Euro (Rusted to nothing at 47K!)

Gone and wanting to forget:
1985 524TD 167K (TotalDumpster™) [Definitely NOT a Benz]