This is a quirk of the EDS computer on the 86/87 cars. The redesigned (incompatible with 86/87) version in the 90/91 cars doesn't do this (it has it's own quirks). I had good success replacing the capacitors in my EDS computer on my '86 SDL and greatly reducing the irritating high idle issue. I have a thread on this forum somewhere where I documented it.

The other option is to unplug the EDS solenoid on the back of the injection pump and use the mechanical idle adjustment to set the idle speed to ~650 RPM.

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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]