Not a pro on diesels (worked on one and two lungers on sail boats for some years though), but it sounds like leaking (as in not using new heat shields), or still some air trapped somewhere.
Once it warms, thermal expansion will seal off some of the leak (as far as chamber leaks from the HS anyway) and once pressure is up, the air won't be as much of an issue.
Had this with small air pockets in a line for a yanmar diesel once (packed like a sardine into a crowded bilge), took forever to get all the air out, but what I couldn't get out with priming worked itself out eventually with running.
1984 300D Turbo - 4-speed manual conversion, mid-level resto
1983 300D - parts car
1979 300TD Auto - Parts car.
1985 300D Auto - Wrecked/Parts.
"If you don't know where you are going, any road will get you there". Lewis Carrol