Just had the same question and found the answer... According to my manual for a Mercedes-Benz 560SL 1986 It is the Exterior light failure indicator lamp. "The light failure indicator comes on with the key in steering lock posion2 and will go out when the engine starts. If it comes on with the engine running, it indicates a a light failure. If an exterior light fails, the indicator will come on only when that light is switched on. If a brake or turn signal lights fails, the light failure indicator will come on when applying the brake or actuating the turn signal and stay on until the engine is turned off. CAUTION! If additional lighting equiment is installed (auxiliary headlamps ect.) to avoid damage to the failure indicator system, be certain to connect into the fuse before the failure indicator monitor unit.
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