warning message stating gas cap not on w/ check engine light

Were you getting gas with the engine running when the light came on? If so, that will trigger the gas cap warning and could possibly set a check engine light. Other wise the gas cap could just be bad and not sealing properly. Your Mercedes-Benz dealership will be able to check your code/codes for you, diagnose the problem, and repair it. Here is a link to help you find the closest service center: http://repairpal.com/directory.