Did you clear the errors after replacing the glow plugs and the controller? They will remain in the DDE error memory until manually cleared using INPA, DIS etc.
Also, it seems that the "preheating" message is not always displayed when the glow plugs are activated. I have seen it at startup a few times on my '05 3.0d but not always (even in the cold). The glow plugs can also be activated when the engine is struggling to maintain cylinder temps and the message certainly doesn't appear then.
Also, I just read this on another forum...
"Guarantee the reason for all of the glow plug controller issues is due to a failed coolant thermostat. (plus that it's winter season)
... Check your coolant temps, if they are not 86 to 88 degrees C, your thermostat has failed resulting in excessive glow plug activation while engine is running (not shown on the instrument cluster)."
Sounds like a reasonable theory. My car had a failed thermostat when I got it and a short while later I lost two then four glow plugs. I had replaced the thermostat by then but too late it seems...
Cleared my DDE errors (re. the glow plugs etc.) after replacing all six plugs and the controller and not more issues.