How long are you running the glow plugs before starting the engine? Try running them until you hear them stop heating (listen for a click). Also do a resistance check on the plugs.
It's common for an older diesel to run a bit rough without throttle assitance shortly after a cold start. But it should smooth out after a few seconds, especially after you idle it at a higher RPM for a while. At least that's the common behavior my 3 cars exhibit.
I agree with the recommendations of raising the idle to 750-800 (warm), and also using some diesel fuel additives that raise the cetane. If that doesn't help I'd say a compression test is the next step.
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2004 VW Jetta TDI (manual)
Past MB's: '96 E300D, '83 240D, '82 300D, '87 300D, '87 420SEL
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