That would seem to rule out the relay and the ECU circuit driving it. The ECU, by the way works out how long the glow plugs should be activated based on the measured temperature of the engine coolant ..... thought I'd just sling that in as a bit of additional information.
If you seriously suspect one or more of your glow plugs, you can either check the resistance of each one individually, disconnected from the rest of the circuit, you'll be looking for a low resistance value, or you can pull them and check that each one heats up when you stick 12 volts across it. DO NOT HOLD ON TO THE GLOW PLUG WHILE DOING THIS unless you have asbestos gloves! They should get very hot, very quickly.