I finally resolved the issue and am posting this to help others avoid what I went through. Some of what happened here appears to be due to sheer bad luck. But still I would hate for anyone else to fall for the same thing.
I learned a lot from the following post but I was not clear on some of the points and I have tried to further clarify these points. Hopefully I am adding some value here. There are points that he goes through that I am not covering and I definitely recommend reading his post.
To recap, I had the three lights come up on the dash. The most common cause of this a bad break light switch. I had that changed and it did not help. Next I changed the two relays in the fuse box (K25 and I believe K6). No joy.
I had the dealer scan the car. They determined a bad ABS/ETS computer with the part number:
163-545-58-32. It is under the fuse box.
The part goes for $900 from the dealer and they wanted $500 for installation. I got a used one and installed it myself. No Joy. I thought maybe the part was bad. I exchanged it for a second one. Still no joy. Took about an hour, BTW.
I went to another dealer for a second scan. They determined I had a bad ABS pump. $1800 for parts and $700 for labor. It turned out that the real problem was with the pump and the part mentioned by the first dealer was not the problem. Most likely, the guy fat fingered the keyboard and instead of choosing ABS pump, chose ABS/ETS computer.
The ABS pump has two parts. The mechanical part and a circuit board with some selonoids. The latter is what usually goes bad. You can easily take out the circuit board and send it out for repair.
To do this, you need to take out the driver side headlight. There is one screw on the upper side of the headlamp, which is visible. There are also two nuts on the lower edge but they are not visible. You have to first take off a piece of plastic (same color as the car) which is right under the headlight. This is done by pressing on two tabs at the end of this piece. Once this is done, release the plastic piece and set it aside. The two nuts become visible and can easily be taken off. The headlamp will then come off.
To the left, and right next to the windshield washer reservoir, you will notice a black plastic box which is attached to a metal square block with lines coming out of the block. The black box is the circuitry and the metal square is the actual pump. Four torx screws attach the black box to the pump. You will need torx sockets.
Three of the screws come off easily but one of them does not have enough room for the socket and the driver. I used an adjustable pair of pliers to grab the torx socket and take off the torx screw. Once you do this, the plastic piece comes off. No oil is released either.
Next you need to take off the connector. This is tricky. The connecter has a cover that is also a ramping device. I managed to pull this half way and then had to use the adjustable pliers to pull it off all the way. Once the ramping device/cover comes off, it also disconnects the connector and you will have the circuit in your hands.
Now the fun starts. Either send the unit away for repair or if you are handy with a soldering iron and an ohm meter or a continuity tester you can attempt a fix.
If you want to send it away, search ebay and there are some standing offers for this . This is the one that I found but I did not use them and donít know how good they are. Check out their feedback and decide for yourself.
In a nutshell, the post from the Mercedesshop.com (above) notes that some of the pins on this circuit are badly soldered and over time could become loose. You can easily check the connection with an ohm meter and if this is the case you can re-solder the bad joint. Note that the back of the circuit is sealed with silicone but you can easily take this off with a knife taking care that you don't scratch the printed circuit.
When you get the unit out, you will note a black stub protruding from the back with two pieces of metal at its tip. These two carry the power to the motor that is part of the ABS pump unit. These two are connected to the bottom two pins on the connector. Check the connection between the two power pins and the two pieces of metal at the end of the black stub. If there is high resistance or if there is no connection, you need to re-solder the joints.
Apparently it is possible that other things could be wrong with the circuit. If that is the case, you may want to send it away for repair.
I also read in another post that someone had the same symptoms and went through all these steps and even sent his unit out for repair and still could not fix the problem. He finally traced the issue to a chafed wire that was part of the bundle of wires that goes to the ABS unit. At the end he solved the problem with soldering the wire. As such, it may be advisable to take off the driver side headlight and make sure that the wires are OK, before attempting any of the above.
I also want to mention that while going through this I learned of a great site for used parts. The site allows you to search the inventory of many dealers and allows you to sort the results by distance, grade of the parts, etc. I have no connection to them and am mentioning them as an FYI only.
Hope this helps.