you can start it before the plugs light go out, but you run the risk of building up excess cr@p in your system. Diesel needs to be heated to burn correctly in the system if its not heated then less of the fuel is burnt and more soot comes out of your exhaust (thats laymans terms anyways).
i dont see a issue with waiting for the few seconds - the car then has the chance to run though all the checks as well
roy