One thing about diesel engines is that they use compression to trigger the combustion instead of a spark. They do have “glow plugs” that heat up the fuel and make it easier to ignite. And the warmer the engine overall, the more reliable the combustion will be. So my best guess is that putting a cold engine under load (by putting it in gear & driving) could potentially cause the engine to stall.
To put it simply, the engine works better when it’s warm, and if you try to drive with a cold engine, it may not work well enough to keep itself running.
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