If the glow plugs are new, i'd check the compression. As you said it runs fine soon after starting. If the compression is lower, it will fire on the good cylinders and the others will take a bit longer to get going. As it doesn't smoke very much, it doesn't seem like its an injector issue, but i guess it could be just enough to make it hard to start. You could always get them checked out too.
I test mine by removing them and the metal high pressure lines. I get the short one and install it on the pump so it sits out the back of the door, install an injector and crank the enging till fuel sprays out. Check that the spray cone is narrow and even. No droplets of fuel should be present on the end of the nozzle either. I do that to all four. Its just a go or no go test, it doesn't tell you cracking pressures though, only a injector shop can do that.
