One advice, NEVER disconnect the battery without properly shutting down the system on the MB.. Second advice, you don't need they key in the ignition to run the radio/CD. Just press on the ON/OFF button when you take the key out.

Now, you really don't have any problem. Here's what I [i]think happened[i]. The ML is LEV (ML500+) or ULEV (ML320). The emissions system is a closed loop system - i.e. the gas cap must be closed and there must be no leaks in the exhaust and fuel systems for proper functionality. With the ignition in (and I'm not completely sure whether you had the key in ACC or ON or just in the ignition) the system sensors are active and the open gas cap triggered them and you'll have the "Check Engine" warning - that's the way it's supposed to work!!!

I have to check my ML emissions sticker, but these vehicles may be in the class of vehicles that suck up refuelling vapors at the gas pump - ORVR (onboard refueling vapor recovery). If that's the case, the check engine light will come on.

In really don't think you have any problem. The system is working as it should.