It sounds like you purchased a used engine because the one in your car suffered some catastrophic damage, and it would be cheaper to swap engines than try to rebuild. Is this correct? And the replacement did not come with an injection pump. Also correct?
If this is OK, then you should be fine. Well, sort of. Your go-to mechanic not wanting to tackle the swap because he's not experienced with diesels is an honest man. Good for him, and lucky for you.
You do need to find someone who has replaced a pump or two. The replacement engine will need to be installed in the car. Before that, it will probably be easier to install the injection pump as well as a new timing belt kit on the engine. There's a lot more room to work so it will be easier while it is still out of the car.
After the installation, assuming everything is done correctly, you shouldn't have more trouble. The tricky parts to get everything working again will include all the stuff you do for a timing belt change, as well as bleeding the pump and injector lines to ensure there's fuel for the pump to work with. Once the pump, lines, and injectors are bled, your mechanic should then be able to proceed with the final timing checks, initial startup, and then the final timing adjustments with VCDS.
I glossed over a ton of details, but really the timing belt replacement writeups will have nearly everything you'd need to get the whole job done when it comes to technical details of injection pump r&r.
Cheers,
PH