You may very well be right about the timing being out or retarded.
About half the tdi's that I check the timing on are out enough to cause starting issues.
First you should check the static timing, making sure that the crank, cam and inj pump are properly in time.
If and when that checks out the injection pump timing needs to be fine tuned using vcds.
Having the timing bang on greatly impacts cold starting as well as milage and performance.
In order to set the static timing it is helpful to have the proper tools to lock the cam and pump in proper tdc position.....
http://www.idparts.com/timing-belt-tools-a4-alh-p-1262.html
checking and setting the timing is covered in this pdf on how to change a timing belt......
www.tdiclub.com/articles/pdf/a4timingbelt.pdf
or...
http://www.myturbodiesel.com/wiki/a...nt-vw-jetta-tdi-golf-beetle-1998-2003-part-1/
PS ..... if your glow plug light is on for about 10 seconds below freezing that sounds about right for an alh.
As stated obove the glow plugs do stay on and continue to glow for a while after the light goes out....glowing twice should not be necesary and will just drain your battery more causing slower cranking.