You can easily do a resistance test on your glow plugs to make sure they all work. More likely than not it's a false warning. I've had this warning come up a few times, but lately it's been fine. Instead I get the low engine oil warning every now and then even though the oil level on the dipstick is about 1/3 above the minimum. My best advice it to press the reset button and keep on driving unless the warning is persistent.

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2004 VW Jetta TDI (manual)

Past MB's: '96 E300D, '83 240D, '82 300D, '87 300D, '87 420SEL