I agree with varsecrazy in that it is most probably aftermarket.
The most likely functions are either as suggested by Rayc a step out indicator, or an aftermarket alarm indicator.
If it is a step out indicator, the LED should be lit when either the ignition is switched on, or when the engine is started, until the step is almost fully retracted.
For the alarm function on my vehicle, the LED illuminates briefly every few seconds when the alarm is set.
On my 2006 x244 2.8JTD PVC, the alarm indicator was originally located in the locaton shown on the photograph, and the step indicator was fitted into the panel below it. To aid visibility of the step out indication I have swapped the positions of the two LEDs.