2015 GLK 350 Auxiliary Battery Malfunction light is on. What does that mean?

That the Aux. battery (about the size and power of a garden tractor battery) is dead or near death. Not too expensive, so replacing it may be the simplest action. You should be able to do it yourself.... there are videos out there, also.

where is it located

in the cargo area, under the floor on the right, below a plastic over. 2 Torx bolts and 2 10mm nuts to remove cover. Simple R and R from there.

Where are the 2 torches bolts?