A little update on the matter, folks:
I have replaced both of my sensors but that didn't cure the problem. Coolant light was still on. So I said, oh well, I need to look at some other place but then I didn't have time and since coolant level was OK I was simply driving it. I was driving and then one day this light just stopped showing up for couple hours or so and then re-appeared again... Weird, right?! O_o
Then today, I noticed that my engine temp is a little higher than normal considering it was around 60's today and very windy. So I came back home, popped the hood and saw... that I didn't have any coolant in the expansion tank... I was like oh no... must be a leak somewhere. Thus, I started investigating and found that top of the fan was in this white-ish residue from the coolant (since coolant is 50/50 with water, water evaporates and coolant dries into white powder). So I look at the coolant reservoir tank and see that there is a small drip accumulating. So I thought the hose just came loose and tightened it up but no... drip drip again...
So I drained coolant, took this reservoir off and found out that it got a small crack right in the place where a small, few inch hose connects on top of the engine. Plastic went bad over the time I guess. Besides this part was replaced with another part... Wonder Why???
For now I fixed it with plastic JB Weld. Don't know how it will hold but it's not catastrophic and I can live with it till my new tank arrives. $53 from online dealer, $60 shipped total.
Another interesting thing that I found is that when I took coolant reservoir off I started giving it a good wash with my garden hose and suddenly the round magnet fell out... I was like ah you little bastard, that's how you look like... but wait, why did it fell out? Turns out this magnet has to sit on the float itself. There's a post on top of which float sits and moves up/down depending on the coolant level. About a year or two ago when I was cleaning this tank I noticed a rubber grommet on the bottom of the tank. It was badly deteriorated to the point that it simply washed away with the garden hose water pressure... I think that was the grommet that used to keep this magnet in place...
Long story short, I think that's the source of my problem... where magnet is not sitting in place, hence the contacts on the sensor are always closed resulting into low coolant warning.
My stupid self didn't realize that I could have taken a stronger magnet and apply it to the sensor to see if low-level light disappears...
When new tank arrives I'll post a DIY on how to change it =)
Sorry for long writing but hopefully one day someone will find it useful!
Oh, here's a good explanation of how coolant level light works on our SLK R170:
Coolant Level Sensor: Description and Operation
Clicky Clicky! as Woolly says