Hello all.
Sorry for write back so late, but I was testing the car.
Unfortunately I haven't solved the problem yet. I have been going to different places, I have paid lots of money and I am very fed up with this situation.
I went to a mechanic who suggested to make a little "trick" to have an easier start up. He put a 7 second timer in the glow plugs, so everytime you turn the key to start the engine, the glow plugs are working for 7 seconds (even the engine is warm). So now the engine is starting ok everytime, but part of the problem is still there (you can smell the smoke coming inside the car, there are some strange lights on the board...)
So the timer is a good solution, but the problem is still beneath.