from the sounds of this coolant is getting into a cylinder causing the smoke and the coolant loss
these are common for injector sleeves needing to be resealed or head gaskets
has a coolant pressure test been done yet ?
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this is the bulletin on this issue for this engine
Bulletin No.: 03-06-02-005B
Date: November 18, 2004
Engine Coolant Loss with No Visible Leaks (Reseal Injector Sleeve)
2001-2004 Chevrolet Silverado
2001-2004 GMC Sierra
2003-2004 Chevrolet and GMC C4500/5500 Models
with 6.6L Diesel Engine (VIN1 - RPO LB7)
This bulletin is being revised to add technician cautions. Please discard Corporate Bulletin Number 03-06-02-005A (Section 06-Engine).
Some owners may comment on engine coolant loss with no visible leaks. Excessive white smoke or a coolant type odor coming from the exhaust pipe , along with low coolant levels, may indicate coolant in the combustion chamber.
Condition may be caused by engine coolant entering the cylinder due to a dirty or damaged seal between the fuel injector sleeve and the cylinder head.