Thats the "Engine Control Relay" and it must close in order to power up the ECU (engine control unit, also called the Power Train Control Module or "the car's brain").
The key switch does NOT power most of the car, as too much current is involved. So, the ignition switch powers relays in the RCM who then distribute power to various items in the car. And that middle one powers the ECU which then controls the fuel pump relay.

THis is one part you find by entering "2003 Mercedes SLK320" and not the Crossfire. Don't try ordering body parts using that method, but chassis and drive train is about 97% SLK320.