Why do you find this strange? The purpose of the glow plugs is to provide a hot spot in the combustion chamber. This helps to vapourise the fuel because liquid fuel will not ignite, only in the gaseous state doe scompression cause ignition.

When the engine is really cold, the heating of the glow plugs is not sufficient to increase the temperature sufficiently to ensure vapourisation. Cycling the process puts more heat into the chambers.

The other problem you get in really cold temperatures is waxing of the fuel. The lower fractions in the fuel turn solid ie into wax. This blocks up the pipes, filters etc. Modern fuels have anti waxing agents, but it still can happen.