If the fuel filters have been replaced as recommended, I would bet money on the K40 relay as well. It does sound like a fuel management issue.
http://www.peachparts.com/shopforum/showthread.php?t=151581

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2004 VW Jetta TDI (manual)

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