Since the car starts in a climate that requires a block heater, you've ruled out fuse and reed switch in relay. That "no light" indicates one or more glow plugs are kaput. You can test them from connector at glow plug relay (from connector female for each plug to ground). Should be <1 ohm. Might want to replace them all if it's been eons (if they're orig.)

__________________
The Golden Rule

1984 300SD (bought new, sold it in 1988, bought it back 13 yrs. later)