Head scratcher!!!
 

I have an 2001 S500, I have had minor issues while I have owned it.
If it sits parked for an extended period of time, the battery gets drained a bit and it will not start. I have to take the battery out and charge it, then put it back into the vehicle. Every time I do this, I have qwerky things happen. Sun roof switch does not seem to operate the same, or driver window acts qwerky, or roll it down and it will not go back up. Wait a short period of time and it will return to working fine.
Anyway, we just went through a really cold snap and I found the battery dead again. Took the battery out and charged it for about 8 hours and used a tester and it is a little weak but recovered ok. I put the battery back into the car, and it started just fine. I drove it around for about 20 minutes and when I returned home. Everything seemed fine. (The last time the battery died - the radiator cooling fan quit working and the a/c also quit. I posted a thread here about that back in the fall) Great - the cooling fan was running and the a/c is working now.
I turned the key off and removed it and got out of the car. BUT WAIT - the engine is still running. I got back in and put the fob in and it would not go to the on position, and the trans shifter will not move. I disconnected the pos. + cable on the battery and the engine is still running. Hmm. Alternator is powering the frontend. I could not figure which fuse would shut down the fuel pump, so I removed the air cleaner assym. and put my hand over the intake and starved it out.
re-attach the battery cable and everything goes back to normal and the vehicle starts and drives fine. UNTIL - you turn the key off. right back to square one. engine running and open it up and remove the air box and snuff it out. remove battery terminal and reattach and back to ready to start again.
I repeated this no less than 5 times.
I am really open to some suggestions here.
thanks for the help!!!

bump.......

ok, first thing seems to be a problem with the EIS/ignition switch. Also have you gotten any water in the car? does it smell of moisture?
it sounds to me from my experience that you have a bad EIS. taking it to a Benz dealer would be the best thing to do. I would be curious to see what functions and what doesn't after you turn off the key. And what happens when you just insert the key without turning the key. sounds, lights etc

No, no moisture

Ouch, this sounds like an expensive fix.

Whenever the battery dies or is disconnected your windows and sunroof will need to normalized. power windows one touch up and down wont work, ESP/BAS lights will come on. all that stuff is normal when disconnecting the battery.