Perfectly normal for almost all diesel engines. I have owned 7 diesel powered vehicles over a period of 20 years and every one gave a small puff of smoke on first starting with a cold engine because it takes a few moments for the engine to run smoothly and all ensure that all the fuel on every cylinder burns fully. The ECU electronics will initially give a larger dose of fuel to 'help' the engine start. You may also notice your mpg or km/l figure drops at the same time but quickly recovers to where it was.

If it continues beyond a few seconds and it smells of engine oil or your fuel consumption increases permanently then worry about it. Regardless of glow plugs operating or not - most don't if the air temp is above 5deg - you will almost inevitably get a puff of smoke. A warm/hot engine rarely will smoke unless there is a problem. Watch your engine oil levels too - 3.0D units typically use around 0.5 litre/1000 miles.

I believe the latest designs of diesel powerplants (in Europe to meet Euro V regs)) use particulate filters to remove/reduce this.

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Me:
Current: 2011 E71 40D Vermilion Red/Beige Nappa

Wifey:
Current: 2012 R80 Countryman SDX Green/Cream