Psd's run the timer for the light and the relay separately. There is no controller like an IDI, it's all dune by the ECM.
You could have a bad relay, or a dying ECM. I've been through 2 GPR's on my 96 in the last year, I have not been able to get a good quality one for quite a while.
I suggest turning the key on and watching the voltage, as well as listening for the relay to click. If the relay is closing and opening as it should, check the voltage on the load(glow plug) side of the relay. It isn't uncommon for the contacts to fail and the relay to still click and eventually make contact.
The glowplugs in a PSD are quite robust, and 99% of the time the relay fails multiple times before the glows finally do.
If the relay isn't cycling at the proper time and closing(or at least getting signal to) in conjunction with the wts light coming on, you probably have a failing ecm. This is why I have my 96, the first signs of it malfunctioning were the relay not cycling at the proper time(it would close the GPR 5-10 seconds after the WTS went out) and it never really acted any differently for quite some time(year and a half+) then it randomly died on the side of the road, the po got it going after a bunch of fooling around, it made it home, and never started again.
I swapped out the ecm, and it has been fine since.