I don't know what that statement means either, but it sounds like the relay works properly. Maybe it's just the light bulb that's burnt out. Do a cold and hot resistance test on the glow plugs through the relay connector. This will tell you for sure if they're heating up.

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2004 VW Jetta TDI (manual)

Past MB's: '96 E300D, '83 240D, '82 300D, '87 300D, '87 420SEL