Hello,
You may have a plug with an intemittant crack in it.
Take the 5-pin plug off the glow relay and with a DVOM
(Fluke Meter) set to ohms and check between pins 1 thru 5 and
ground. Do this with the engine cold and all your glow plugs
should have a resitance of around .7 ohms or so. if you get one
that has .0 ohms or is higher than 2.0, it is probably bad.
usually 4 will be identical and 1 will stand out with a whacky
reading. If they all test ok, run the engine and re-check.
The resistances will be slightly higher, but all the same.

If still all ok, the glow relay could be your problem.
It controls the indicator lamp and is a stand alone unit.
when the glow lamp fails to illuminate, that is the warning
signal from the relay that there is a fault.

Good luck.
DR. D