Just a quick update of the situation:

I ended up taking the car to a mechanic I made good experience with in the past (not a dealership). He said he ran 3 different scanners to see what triggered the siren and could not get into the security system of the car. One of the scanners is the OEM Mercedes scanner which really surprised me. The bad news is that he said he doesn't want to take shots in the dark and the best thing to do was taking it to the dealership. The good news is that he cleared a few error codes that showed up and for some mysterical reason he said the alarm was not set off at all in the repair shop. Took it home and for 2 days I have not had any problems with the alarm system and everything works as is supposed *knock on wood*. I assume the problem is not really fixed but for now everything works out.
That makes me happy since the siren went right off every time I put the fuze of the alarm system into the fuze box. So far so good..