I'm not aware of any cool-down procedure for a non-turbo diesel. As far as I know, you treat them just like a gas engine. The famous 'cool-down' for turbo'd engines is so that the turbo gets a chance to cool off and not fry bearings, seals, oil, etc, as turbos get *really* hot under a load.
My L3000DT doesn't come off the peg, either. I'm not particularly thrilled with that either, as it suggests that either the temperature gage is completely inaccurate or that the cooling system is so oversized that the engine can't bring it up to a normal operation temperature. I hope it's the former, but that doesn't give me a good feeling. By the time it registers 'hot', the thing will probably be WAY hot.