The vent inside the center console puts out full heat regardless of the setting of the air conditioner controls.
Center console heat on 2003 Mercedes-Benz E500
this is a problem with the Heater Control Valve. It gets old and broken and gets stuck in the full heating position. You can easily buy the part on ebay and replace it by DIY. I had this issue on my 2004 e500. However, it is a bit difficult to get to. This link has excellent instructions on how to do it yourself. Took me about 3 hours all in. http://mbworld.org/forums/e-class-w211/250487-diy-installing-new-changeover-heater-control-valve.html
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Some E-class Mercedes-Benzs have a separate temperature control for the center vent on the vent. Check to see if there is a wheel that has blue(cold) and red(heat) colors on it. If there isn't a separate control for it you may want to have a technician diagnose your problem. Here is a link to help you find a shop: http://repairpal.com/directory
Had a sensor replaced for approx. $250 and it works well now.