I too have headrests in my 1965 (built 1964) 230 SL, and according to the 3 previous owners they have always been with the car. They are removable, so for slow summer cruising, I always remove them to enjoy the cleaner profile, but put them back in when I drive on highways. I suffered a severe whiplash in 1997 when a Mercedes E-class failed to noticed that I stopped for a red light and reduced the length of my Triumph Spitfire by 4 feet...So I really enjoy having headrests in my 230, even if not completely original :-)
Ulf