The rear headrests are partial electrical and partial vacuum (as already mentioned). I don't know exactly about the W124, but in the W202 there is an electrical valve under the rear deck that allows the (engine)vacuum to pull down the rear head rests after the switch on the center console is pushed.
Do the rear headrests come down when you push the button a little longer (if this is the case, you probably have a vacuum leak)? Are you able to hear a (minimal) clicking noise when you push the button (it can be heard if the electrical valve does work)?

There is a fuse for the rear headrests.
The vacuum that controls the rear headrests has nothing to do with the central locking vacuum (separate systems).

greetingz,

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1990 300SL-24
1993 C250D with a minor 600+k kilometer
www.MBenzNL.com(the Netherlands)