Which Pennzoil are you talking about? There is nothing wrong with Pennzoil, but there are several ones.

The Long Life is the universal grade which is designed for diesels. If you use any of the others, they will be okay as long as they have a "C" rating. But the CH4 spec found on universal grade oils does a better job of soot dispersal in a diesel and has more detergents to keep the crankcase clean, it is worth seeking this out if you're using it in a diesel.

Good luck,