If your light is not coming on in the instrument cluster, pull the 6 point plug from the relay and jump terminals 1 and 2 with a wire then put the key on to see if the light illuminates. If it does, I would check each of your glow plugs individually with an ohm meter to make sure they are all functioning. If you have a couple faulty ones, then replace as needed (or put a whole set in) and that should take care of the problem. If the plugs all check out ok, your relay would most definitely be at fault and should be replaced.

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Regards,
Aaron