Rolling forward or back when I select PARK
 

W126 420SEL

When I select Park, the car either rolls forward or back depending on the slope.

I'd say perhaps 6-8 inches; significant enough really.

What causes this; is it something that can be adjusted for somewhere? Transmission or engine?

No, that is dependant on the design of the parking pawl.

ON MB transmissions like yours the pawl has a large width & the gear has a wide spacing.

It doesn't do that if you engage your parking brake, as your owners manual instructs.

So this is normal then?
(absent the parking brake idea, which is a good one, except this is [was] a $1,000 project car and I have the shoe kit but not got around to installing it yet)