One thing we don't know is the mileage on this vehicle. Because you have been having issues since you got the vehicle, high mileage, or lack of maintenance could be a factor.
I am unfamiliar with this particular vehicle and I may be at a disadvantage, however a diesel is a diesel. The smoke when the engine does finally start (as was stated in another answer) is indicative of unburnt fuel that does not burn in the combustion chamber, enters the exhaust, and once the engine is running the heat from the burnt gases cause it to smoke.
Diesel engines ignite their fuel by compressing the intake air, which creates heat high enough to ignite the fuel. Cold engine, with cold air cannot create enough heat to ignite the fuel, hence the need for glow plugs. They supply added heat, enough to ignite the fuel even when the ambient temperature is low. If there is compression loss this accentuates the problem, especially upon the first start of the day.
Changing the glow plus making it harder (or impossible) to start sounds like, as in another answer the plugs may not be the correct ones for the vehicle. Sometimes older glow plugs will have less resistance in some and not others. What this can cause is some plugs working and getting higher current flow allowing it to heat to a higher temperature. A worn/high mileage engine with marginal compression can be hard to start after it sits overnight, and it takes more heat to get it started.
Checking the voltage, resistance and amperage (current) flow is the first way to check glow plugs. Depending on the type of glow plug, you can have proper resistance, and correct amperage (current) flow, and still have an issue with the plug itself. If it is a "pencil" type it could be heating but not at the tip where it needs to heat to be inside of the combustion chamber. To test them you must have them out of the vehicle where you can see the tip to see that it is actually glowing.
The low compression question seems to be the most reasonable based on the small amount of info we have to work with. I don't know the maintenance that has/has not been done, so this is a possibility. We had several Mercedes that had this same issue. After checking the usual suspects, glow plugs, glow plug relay, starter speed, etc., we checked the valve lash and found that the valves were indeed tight. We adjusted them to specs and the problem went away.
If the valve lash has not been checked/adjusted since you have had the vehicle, I would start there. It's not terribly expensive, and it is a needed and much neglected maintenance item. If that does not fix the problem I would have the compression checked with the engine cold, after sitting overnight, without trying to start it.
Sorry this is so long. A lot of info and possibilities! I hope this helps. I look forward to seeing what you find.