I've got a '98 model year E300. It had all the glow plugs replaced under warranty. They don't seem to be as durable in this engine as for some previous diesels.
My car had the exact same symptoms - just a bit of roughness and smoke, but only when started stone cold. Smoothed out within 30 seconds at most. It behaved like that for several months before finally setting the check engine light.
In short, it's certainly the glow plugs. It'll have to get worse before the electronics detect the problem. I don't know if there's any downside or risk to ignoring the problem until it does become more pronounced.