I don't own a diesel BMW but, I have owned several diesel trucks. And as stated the glow plugs are a common problem. I had block heater installed on all my diesels for when the temps dropped below 20*F as a backup.

I have had the glow plug be bad and no warning light ever came on. And it was only discovered by a simple circuit test on the glow plug itself. However, I don't know if that is a DIY items with these finicky cars or not. It should be an easy fix.

Tom