Yes, the fan is a moving part that could fail. In addition it adds a low hum to a quiet car. Although, that is only audible with the car stopped and climate control off.
There are LED retrofit kits that do not use a fan on their heat sink (many seem to use flexible copper braid). I wonder how effective those passively cooled heat sinks are, especially in an enclosed headlight shroud.
From the pictures I've seen of the LED headlight assembly on the SL, the large heat sink is exposed to air under the hood and doesn't need a fan. Another MNL member had swapped his halogen headlights with the LED units from an SL.