My '91 500SEL rotary headlight switch does not light, only the surrounding indicator, I think this is normal. There is an orange lamp in the centre of the rotary switch which lights when pulled out 2 clicks for the fog lights at the rear

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1993 190E 2.0L (Euro.) sold
1991. 500 SEL (Euro.)
1991. 300 CE (Euro.) sold
1993. 500 E (U.S. spec.)