I have often wondered why the fuel door latch only engages when the engine is started.
I was surprised to read this recent statement, and I doubted that it was so. However, like others here I had never checked it (until today) and I can report that on my 2004 CLK the fuel flap does not lock immediately with the engine running. Maybe later models are different?
Of course, if the cluster is set to 'automatic locking', all the doors, the trunk lid and the fuel flap will all lock after the car reaches 9 mph.
Incidentally, in an emergency you can unlock the fuel flap manually by turning a release knob located behind the right side trim panel in the trunk. This is covered in the Operator's Manual.