I'm in Canada and I have a 2012 e550 coupe. I am able to fold the mirrors from the inside (next to the mirror adjustments buttons), but I am not able to have the auto fold option when locking the car.

I looked at the manual and it says there should be an option under convenience when going through the car's options (from the steering wheel). Do I need to go to the dealer do update my car and get this option or does my car not have the auto folding option

No you can do it yourself. Watch this video how to do it. It's not exactly your car, but you can do it very similar as how it's shown:

Bumping thread - met another 2012 e550 coupe owner and he had the auto folding option.

As mentioned, I cannot "turn on" the auto folding mirror options in my settings (should be under convenience but I looked at every single one).

I called the dealer and asked about an update, but she said my car does not have this option. I thought all Canadian e550 coupes had it, especially if I am able to fold the mirrors from the inside? Can this be added with the STAR/comand/xentry?

I am in Canada, but have a US car.
Ironically my car DOES show the folding mirrors as possibility via a setting on the convenience screen, but it cant be activated.
I have no folding button where the mirror adjustment buttons are.