Your simple question opens up quite a large subject. There is no such thing as a choke on a diesel engine, there's not even a throttle. Diesels draw a complete gulp of air with every intake stroke. The power is controlled by the amount of fuel that is injected into the cylinder. The ignition heat comes from the air being compressed by about 21 times. Upon start up while a diesel is warming up they do not run very well. However, it should not run rough for very long, maybe a minute or two.
The late 123 diesels from '81 on had parallel glow plugs. They work quite well, but I seem to have to replace them every couple of years. Yes, the relay does keep them on for a short time after the engine starts, depending on the temperature sensed by the temperature sensor which is connected to the glow plug relay.
There also is a flat knob below the instrument cluster and just above the left side of the steering column. In cold weather, you can turn this to the left, pressing a little on the accelerator pedal makes it easier, this will speed the engine up a little while it warms up.
You may very well find that replacing the glow plugs will correct the rough idle upon start up.
'84 Euro 240D, 516K miles
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'81 300D Daughter's Car
Over 800,000 miles in