I just bought my 2005 E55 AMG and I'm loving it but currently, I'm having issues figuring out what's up with my passenger turning signal. I replaced the bulb and nothing, I check the socket and nothing. I made sure the light and socket were working by putting it in the driver's side turning cavity and it worked perfectly fine. I was wondering if the 2005 E55 had a fuse or relay that controls it so I can check on those as well. Everything is fine about the car besides this.

 

Are you sure it's not actually a BMW? They don't have indicators FYI..

 

A short, an open, or an issue with the front SAM, less likely an issue with the turn signal module on the column. Use Xentry and WIS to diagnose; you've already done the easiest part.
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The car can shut down a problem light circuit if there is the possibilty a bigger issue such as a short could occur. As suggested by @bbirdwell you will really need the MB SDS/DAS/Xentry to dig into this. Other scanners can not do what the MB tool does.