The diagnosis you have performed would seem to indicate that one
of your glow plugs or glow plug wires is faulty. Remove the glow plugs from the engine and test them with jumper cables to make sure they are all actually working correctly. Check all your glow plug wires if one of the plugs does not turn out to be bad. If everything checks out, you may just have a faulty sense circuit in the relay, the glow plug sytem will function but the indicator light will not illuminate.

The glow plug relay has a reed relay circuit that senses the current draw of the #1 glow plug compared to the current draw of the #2-5 glow plugs. If all the plugs (and glow plug wires) are operating correctly the relay will allow the glow plug light to illuminate. If there is a fault, the unbalanced current flow will cause the relay to extinguish the glow plug light. A fault in the relay's sense circuit could also cause the light to not illuminate.