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Are you sure its blue smoke and not white or black?
When you say it uses no oil, does that mean it loses none at all or maybe some like a 1/2 quart?
Do you have access to a scan tool which can run a injector buzz test or check ICP pressure?
Have you check the operation of all the glow plugs?
This smoke color is very important.
Blue smoke would mean oil is being burnt and since you lose very little then that would rule out the turbo and leave valve stem seals, but on a diesel rough running from oil is not going to occur since oil burns in a diesel like fuel
White or black will be un igniting fuel or excessive fuel. Both issues can occur from a few different things including glow plugs not getting hot or injectors not spraying well from being worn out or semi clogged or not getting the correct pressures.
A generic scan tool will not run the tests. You need to run a buzz test to check the solenoids of every injector when its going to be a cold start, this will check the wire harness and IDM and injectors.
A ICP pressure test should show a minimum of 500PSI when cranking. If its lower then the HPOP is draining the reservoir down overnight or there are small leaks in the HPO system and its not getting enough HPO to the injectors to make them spray well enough.
The glow plugs need to actually be removed and see if all get hot when commanded on, just checking there voltage will not tell you if they work or not. Cold plugs will not help the fuel ignite well when cold.
HPOP= high pressure oil pump
ICP= injector control pressure
Most likely your looking at one or more injectors weak here and not spraying enough fuel due to not opening enough or all the way from weak electrical solenoids on the top of them.