One bad glow plug triggered a check engine and glow plug light for me. I'd sure test them all with an ohm meter before tearing into them. Good ones will measure about 0.6 ohms cold. It is possible that you might have a small fuel leak causing your problem. But if it turns out to be a glow plug, then I'd change them all as well as any fuel lines and O rings leaking under the manifold.

BTW, I'm one of the ones who was successful in drilling out a broken glow plug. A search for my user name and glow plug will bring up the details of my experience. There is no question that I'd give it another go should it happen again.

Len
'99 E300TD 97,500 miles