I'm not "taking you to school" here, just clarifying my earlier post to your original one. Gasoline and propane engines run off of spark. When you turn the key off, you are essential grounding out, therefore removing the spark, and the engine dies. Diesel engines run off of compression and heat. When the fuel is atomized by the injectors in a diesel, mixed with a proper mixture of air, the piston travelling up compresses that mixture, raising the temperature in the cylinder, igniting the fuel. Glow plugs just heat up the cylinder a bit for easier starting in cold temps, if installed. Instead of glow plugs, there may be an intake heater, fuel or electric, that heats up the air going in with the fuel to aid in combustion. Some engines may not have either. To shutoff a diesel engine, the fuel gets shut off, removing it from the equation.
If your tractor runs, but runs rough or is hard to start, cod or hot, usually not both, it is a fuel issue either from a lift pump, injector pump, or injectors. A lift pump is usually fairly cheap. If you suspect injectors or injection pump, send both off for rebuild/testing. If it is slow starting hot and cold, and runs rough, I would suspect a compression issue. Remove the oil fill cap when the engine is running, and feel for air pushing out. A little puff is somewhat normal depending on the engine, but a lot of air pressure is not. That indicates valve or piston ring issues, requiring a rebuild.
I know this is a lot of info, but I hope it helps track down your issues, and maybe it can help someone in the future too. Feel free to PM me with any questions.