It is possible that Bosch (pretty sure the supplier for the headlamps on all S and SL class cars) used the same reflector for SAE (DOT) and ECE (E-code) headlamps and just changed the reflectors btwn the two.

No, you do not need it covered. It will not leak as the headlamp is semi sealed with the reflector inside of it.

The position (city) light hole can be found on other cars too. E46 BMW projector lamp comes to mind, there is a hole in the high beam for the position lamp.

People have tried to source the position light holder to insert it into their SAE headlamp for the look of the ECE headlamps, but it is not a service part to my knowledge. Your best bet would be if someone had a broken ECE headlamp and you got the bulb socket (should use a T4W bulb) and the needed wiring. But that would be largely cosmetic and not legal in any country as the outer lens design would not distribute the light correctly.

I hope this helps, if you have anymore lighting questions, feel free to PM me.

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2002 VW Golf TDI-169,000 miles B20