I have been getting same message on and off.

Yeah I wouldn't give a crap about it but it's stopping me from remote starting.

Probably a sensor - should be an easy diagnosis.

I had this happen once too, but I found out that somehow one of my widows was indeed just barely cracked open and it was enough to tell the App it was open. I opened it and closed it and the message went away and hasn't happened since. I was thankful for the feature as we almost always get rain in the afternoon this time of the year.

I opened and closed all windows and sunroof. Guess I will have to go to service (100 mile round trip)..thanks.

I get the windows message and it seemed to me to coincide with the unlocked condition. That was just an impression I rarely access “me” unless it’s when I forgot to lock it. It goes away after a while with no action so I’m assuming it’s the App but hadn’t thought about a sensor.
Right now I can’t get a connection even though I’m home about 100’ away with car in the garage. Garaged hasn’t been an issue before but I’ll pull it outside and see if that works.

Edit- OK I was able to connect after starting the car and pulling outside. Windows open appeared so I put each window down and opened the Sunroof. Closed them all, turned off the car closed “me” and started over. Windows open still there so it’s definitely an incorrect message. I think I’ll wait and provide a list of all of my issues. This early in the Cycle I doubt the dealer or Mercedes will have any answers. My hunch is that there are software or even worse physical issues....still thinking about the 30,000 that were sitting after mine was built. Did mine roll out to soon before they realized there was an issue???

As I mentioned in my prior post I did all of the same things you did and to no avail. A few minutes ago I tried again but started the engine and drove a few feet before trying it again. First I found that the Sunroof has a separate “open notice”. As soon as it closed that notice went away. Then I did each window one at a time instead of all down and then all up. When I finished with the last window the notice went away. So after the rear passenger side window, the last one, the open window message cleared. If it happens again I’ll try only that window to try and isolate which of the 4 might be the problem. You might try again before taking it to the dealer, I have to think that they will have to keep it for a day or two unless the diagnostic tool can isolate it to a specific cause.

I just did the same thing and the message also went away. Not sure which window it was because there is a bit of a lag, but I think one of the rears.

So first off, this app is truly turning out to be totally unreliable POS! There's nothing like being on a business trip 2.000 miles away from your car and the app is telling you your doors are unlocked or the windows are down. Seriously Mercedes, a complete fail on your behalf.
As far as determining which window is at fault, go your portal thru the Mercedes Me app on line, Choose your vehicle, then navigate to Mercedes Me Connect Services/doors and windows. From there it will show a diagram of your car and which window (in red) thinks is open. It's a real pain that I cannot remote start my car in 12 degree weather. Thanks Mercedes!
I called the Mercedes Me service line and have a service number. They are supposed to call me back with a diagnosis. That was 3 days ago. I've read many blogs both EU and US. All are saying the same thing about this app. Very frustrating and disappointing. Mercedes needs to step up to solve this.

I have no problem with the app, it is much better and gives lots more information than my wifes BMW app.

Going on 5 days now since I called Mercedes Me people to diagnose the Windows Open notice. I called again yesterday and they said IT was backed up and apparently they are in Europe. So working 1/2 days, 4 days a week it may take a while... I'm taking the car to the dealer in two days to see if it's the car sending the signal.

For all of you who have replied to my original post regarding this issue, thanks for your experiences and feedback.
UPDATE; As of today, Jan 25, 2020, the dealer in Phoenix have been pulling their hair out working on this problem for over a week with the MercedesMe app customer support. Kudos to the North Scottsdale Mercedes dealership! They have been incredibly accommodating. They confirmed that it is not a problem with the car. MercedeMe has confirmed that this is a software problem on their end that is being worked on by IT in Germany. They are working out the bugs in the new "2019" series software. So if you have a 2019 or newer vehicle, you can expect to see this sporadically. As of last Friday, the MercedesMe rep indicated that a software solution has been identified. They made me delete and reload the app on my new iPhone 11 and re activate the service. They said it will take 48 hours to update the car which should happen automatically, no dealer needed. Meanwhile, the dealer is holding on to the car to see if MercedesMe folks are come through on their claim. Again, kudos to the dealer. Not to mention that it is 300mi round trip from my house to the dealer. We will see on Monday if the problem is resolved. If not, I'm going to pick up my car and hope the solution is downloaded in the near future. As others have mentioned, this negatively effects the ability to remote start the car which is a must in the high altitude area where I reside.
I'll keep you all posted to what happens next.

Had the same issue numerous times! Mercedes Me people no help EVER. Dealer no help EVER. It goes away for awhile then reappears. This is just another reason the vehicle is going away next week in exchange for a 2018 Porsche Panamera. As I have said elsewhere on this forum - I am done with MB after owning more then 15 over the past 25 years.

MercedesMe Update: As of 8PM Saturday (last night) the app is up a running and appears to be reading all car status correctly. Tomorrow morning, Monday, I will attempt a remote start from 150 miles away while the car is being observed by the dealer. (Flagstaff to Phoenix). It that works successfully, I will be picking up my Mercedes GLE 63s AMG bad-*** car! Commonly referred to the crossover SUV for people who really don't need one... 😜
PS. Trying to decide if I should flash tune my 5.5L bi-Turbo (577HP) to 700HP or upgrade turbo's as well to 900HP. Anyone have experience with these mods?

You'll probably have better response on the X166 forum.

UPDATE: Got the car back from the dealer last Monday (5 days ago) and it appears to be reliably reading total car status and remote starting now. The dealer said they did a software update. MercedesMe support said they did a software update on their end. I don't know if MercedesMe re-updated the car remotely after the dealer or not. This is supposed to be a capability so the car can be updated remotely by MercedesMe without taking the car to the dealer. MercedesMe also had me delete the app off my iPhone and reinstall. It just so happens that I also reinstalled on a new iPhone 11. They also had me go into the MercedesMe app through their website and reactivate my service. MercedesMe acknowledged that the problem was with their new 2019 software with this app which hopefully is fixed for all 2019 car owners.
Bottom line; after 6 weeks of interacting with MercedesMe, it now seems to be working reliably.

Just thought I’d say I get the windows open message on and off on my GLE. Checked all windows are closed fully but have just come to accept it’s a quirk but will bring it up at next service. In the scheme of things, it isn’t as much of an annoyance as the inconsistency in CarPlay actually working.

There's not much your service provider can do with this as it's not a vehicle problem. It's a 2019 MercedesMe software release issue. MercedesMe has admitted this and why they don't have a fix for all 2019 vehicles is baffling. When you call into MercedesMe support, it actually asks if you have a 2019 Mercedes vehicle then choose option X on your keypad... As mention in my previous post, MercedesMe resolved this issue on my 2019 GLE 63s AMG. Now I will contradict myself and say, however, I still get erroneous readings which I have correlated to cell signal quality/strength. When I'm in a good cell signal area I have not had any problems. Which again is surprising they don't use satellite communication.
Regarding Apple CarPlay. I have found to get reliable carplay connection, I wait until after the car has started before plugging in my phone.
Hope this helps.

Today I parked outside and wanted to remote start the car.
This is the first time I got this message about windows opened.

I decided to walk out to the car and used the remote to make sure all windows are closed (with the long press on lock), and
also visually checked around the car, but without opening any doors.
Then I tried the app and the error stayed and I could not start the car.

I then went into the cat started it, stopped it (without touching the windows), went back to the house and now I could start the car remotely.

All the above seems to me that the the sensors were not working well in the sub zero temperatures we have.
99% of the time it is parked in a garage that is above zero temps (Celsius) and I never saw that the windows are opened (I know for sure because I see the app dashboard everyday).
Also since I did not touch the windows and the error went away after what I described is seems that it is a glitch with the sensor.

Only time will tell...

I have also experience notifications on my cell phone of "Windows Open", when I was confident that they were closed. When looking closely at the diagram on me Connect on the phone, in the 'small print' I noticed that it was dated much earlier in the day when my windows actually were open.

When I deleted the notification from my phone, the problem went away. Same thing with "Doors Open".

YMMV.