my '91 300E doesn't have anything either. Kind of annoying feature not to have, I guess Mercedes figured it would be in Drive most of the time, and the gated shifted would help to 'feel' the other gears. My wife's dodge has a display on the instrument panel to tell you which gear is selected which is helpful.
I'm used to manual cars too, and I use '3' quite a lot on windy/hilly roads. I just try to remember that '3' is one notch towards me, and that 'N' is one away from 'D', and 'R' is two away, etc. I've found it's become quite natural now, like remembering the gear patern on a manual transmission car.

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1993 320TE M104
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past:

1983 230E W123 M102
1994 E300D S124 OM606 (x2)
1967 250SE W108 M129
1972 280se 3.5 W108 M116
1980 280SE W116 M110
1980 350SE W116 M116
1992 300E W124 M103
1994 E280 W124 M104
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"music and women I cannot but give way to, whatever my business" -Pepys