What he said. Is it bad to drive on? Not disastrously, it will burn the plugs out fairly quickly and the constant high load on the electrical system could cause issues on short journeys.
First thing I would do is get the meter out and meter between the top of a glow plug and the block (or any earth point) while the engine is running and the light is showing. If you see system voltage then you can be fairly confident there is a fault causing the circuit to remain energised beyond the normal start up which in turn is keeping the tell-tale light on.
On the TD5 the plugs can actually be brought on and off independently of the glow plug light when the engine is cold to help improve the burn and reduce raw diesel emissions which will kill the cat so I am going to suspect that if the light is staying on and it's a TD5, then its wiring because the ECU would need to be on the fritz to keep that lit all the time because as said, the light and the circuit going live are independent.