if the light stays on after you have started (think it is for around 30 secs) then it is because of a failure in the glow plug system. you should get the glow plugs replaced which should cure it . they don't always stop the engine from starting if you see what i mean, as it's not that cold here in the uk. the car should still start ok without them but it's not a massive problem to get them changed anyway so worth getting done
mine flashes for 30 secs, think thats what happens when it goes faulty.
Always starts even though its faulty, so it can stay that way.
I bet it does start,but it's lumpy as hell for a few seconds as one cylinder will not be up to temperature, after a few cycles this is cured as the otherchambers warm up and the expeled gas heat things up instead of the plug, the thing is though that this is bad, the wear on the cylinder is increased by the lack of heat for those few seconds, Eventually it will get to a point where that cylinder may not even fire, as we know diesels run on compression and the latent heat in the plug coil, to have a plug with a damaged/missing coil just means that one cylinder will not be operating at full capacity, Costing you more in fuel than it does to replace the plugs, just do it and make your car live longer.