Higher-temp thermostat, possibly a smaller radiator.
No, there are no radiator parts that were option code dependent (of course engine model dependent parts exists). I'm not sure about the thermostat but again, no part that would have 824 option code.
I'd bet a block heater.
I'd assume auxiliary (gasoline) interior heat is another option code.
228 brings the gasoline (or diesel) auxiliary heater but the block heater too comes with a different code, was it 460, Canadian parts. Odd in my opinion but the OEM electric block heater is not even available in Europe. I guess a bigger after market electric heater is too common at cold countries.
I thought some W204 models had a bigger battery with 824 option code but I could not find any example (and the bigger battery comes with many other option codes anyway).
It is difficult to find any part that would be option code 824 dependent, an example I did find was this small hose A2048301896 which has several option codes, 824 included (I did not figure out the function of the hose).
I believe MB cannot put a smaller radiator with 824 because these cars are still driven in hot countries too, Canadian or Northern Europe cars visiting south or people moving to warmer climates and bringing their cars too. A smaller AC condenser would not be critical but even these appear to be the same (I was looking at a 204 as from the original post but it should be the same for most modern MB models).
I'd like to add a related question: has anyone found any decent way to search parts from EPC with a given option code? This would be very useful when checking retrofit parts but also in this case when searching for 824 dependent parts for fun.