FMVSS pertains to manufacturers, not consumers. IOW, Mercedes is bound by federal motor vehicle safety standards if they intend to sell cars in the USA, but I can freely buy a Mercedes and modify the car such that it would be in some violation of the standards Mercedes was bound by. I can remove the rear seat belts, for instance. I can freely drive around with no rear seatbelts in my car and not be violating any law, statute, or ordinance, despite the fact that Mercedes could not sell a car with a rear seat and no seatbelts. It would certainly be a non-issue with nobody sitting in the rear seat.
Am I making the difference clear?
Some states are more strict with aftermarket parts than others. But in general, unless there is a statute expressly forbidding some part or modification by the owner, it is legal. You can't have blue signal lights, but you could replace the factory bulb with a red LED or flourescent one and be OK. A Mercedes dealer cannot replace the turn signal lamps with something other than factory because regulations expressly forbid that kind of dealer-installed modification. It does not forbid the owner from doing the modification themselves. Again, there is a difference that is relevant - dealer installed vs. owner-installed.
Not a fan of aftermarket HID, BTW