this may not be the same noise you're having, but for what its worth, my car makes a distinct knock after i shut it off, which the diesel mechanic at the mb dealer explained to me was exactly what it was supposed to do. He explained the mechanics of it but I wasn't really listening, I had to run. Anyway, if its the knock, I wouldn't worry about it.

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2004 Ram 2500 Cummins HO
2000 Jetta TDI
1999 E300 (sold)