It won't set a check engine light until it has idles for 2 min at 950 or higher. Then it will set a P0507. The culprit is the intake manifold gasket. It gets sucked in around the No 1 cylinder. You can verify this by squirting some type of carb cleaner, fuel injector cleaner or spray oil around the gasket at the no 1 cylinder. If the idle changes, then what ever you are squirting is getting sucked in.
This is a common problem with the SL. Use a felpro gasket instead of the oem, they seem to be stiffer. I've got over 200k miles on my SL, went through two oem gaskets, I'm now using the felpro and it seems to be working.