I always have used the following link for glow plug troubleshooting issues Mercedes Diesel Glow Plug Repair It could be the relay, but then again, maybe not. Could be something as simple as a loose bulb in the instrument cluster. Try the steps outlined in the link. Good luck!

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2012 Mercedes ML350 Bluetec 102K (hers)
2005 Corvette 55K (fun car)
2002 VW Jetta TDI 238K (mine)
1998 Volvo S70 T5 Turbo 211K (kids)
1994 Ford F150 4WD 246K (firewood hauler)
1983 Mercedes 300D 384K (diesel commuter)