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Do you get the normal wait to start light and allow it to cycle? If so, your PCM is actuating the glow plug relay properly.
When was the last time the glow plugs were changed out? If it has been awhile or if never done, I would test them and see if they are acting up and not warming the engine up properly
When you mention cold, how cold? Does the engine run normally after about 10 minutes or does it take longer? I ask this because if the engine runs good after about 10 minutes, the glow plugs or the relay are the culprit. If it takes longer than 10 minutes and the temps are below freezing, plus the vehicle has been off for several hours in these temps, then the fuel heater would be more of the concern to look at. If the fuel heater is acting up, just swap it. They usally don't act up too much though. When they do, they pop the fuse #22 and the engine won't start.
I suggest testing the glow plugs and verify that you get the 12 volts out of the glow plug relay. Most likely one of the glow plugs is acting up and causing the rest to not do their job because the one bad glow plug is stealing all the amperage from the rest of the system. It is a really common concern in the cooler months or I should write, more noticeable in the cooler months than the warmer ones.
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