When I exit corner, the steering wheel returns to center position automatically.

On W124 cars, is the return slower than on other cars?

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1992 300D 2.5 turbo diesel. 319 k miles.
124.128 chassis, 602.962 engine, 722.418 tranny.

proper alignment and recommended tire pressure should help that situation.
do you have issues with the alignment, e.g. pulling to one side etc ?
what's your tire pressure ?

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Whether you think you can or cannot, Either way you're right!. by Henry Ford.

Tire pressure is 28 front 31 rear.
The recommended pressure is
27/27 for normal load
28/33 for full load.

It does not seem to pull much on straight lane, but I am not sure because I can hardly find even street in my area. Anyway, if pull exists, it is mild.

tie rods
drag link
steering shock absorber

control arm bushing
control arm for the other side (because bushings did not come out)

These were replaced recently due to steering vibration and alignment was done.

Frankly speaking I am not sure whether it returned slowly since long ago, or became so after the replacement of parts.
It might be that I was unaware of it before, but recently I had opportunity to drive several American and Japanese brand cars and became aware of it in comparison.

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1992 300D 2.5 turbo diesel. 319 k miles.
124.128 chassis, 602.962 engine, 722.418 tranny.

Its a recirculating ball not a rack & pinion. It does return slowly compared.
The rack and pinion returns quicker especially if you add in the torque steer force of a front wheel drive which will almost rip the wheel from your hands.

Have you checked your ball joints?

How can I check it?
I guess they check ball joints at maintenance service or wheel alignment.

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1992 300D 2.5 turbo diesel. 319 k miles.
124.128 chassis, 602.962 engine, 722.418 tranny.

Does this car have an idler arm busing like a 123? If so, check and/or replace it. My car was noisy, didn't center very well and seemed to have a pull first one way, then the other. Replaced the idler arm busing (very easy) and all is well now.