I second Paul's suggestion. When you shut off a diesel, all you are really doing is starving it of fuel. When you turn the key there is a vacuum switch that's suppose to shut off the fuel. If I remember correctly, there is a vacuum line that goes up to the ignition switch itself. Maybe that is the problem. Eitherway, it's a vacuum leak somewhere.

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1999 MB SL500 (110,000 mi)
2004 Volvo V70 2.5T (220,000 mi)
2014 Tesla Model S 85 (136,000 mi)
MBCA member