Maybe check if your EGR is operating properly? Also the resistance heater if equipped.

Most diesel cars equipped with EGR also detect its (frequent in older cars) failures, but I suppose it's possible to have a fault without it being detected.

EGR is responsible for recirculating exhaust gases back into the intake primarily to increase efficiency, but a nice side effect is that it heats up the engine a lot quicker.

Also, many diesel cars sold around here since 2000 or so are equipped with a resistance heater that kicks in when the engine is cold. Perhaps that's different in other markets.