You could have a burned out indicator lamp, or a bad ground to it.
I do not know your tractor, but I can tell you how I checked the glowplugs on my tractor (MF1010). I removed each glowplug, and checked to see if they would heat by attaching a battery charger to each one. Not very scientific, granted, but I could see them glow orange easily enough. I laid each plug across a metal trailer jack, clamped the negative cable from the charger to the same jack, clamped the positive cable to the top of the glow plug, then stepped back and plugged in the charger. After about 10 seconds, they got very hot.
You can check the resistance of your glowplugs as well, but I do not know the value for your tractor.
Another trick you can try is to get an infrared thermometer (Harbor Freight I think), hit the glow plug switch and aim the thermometer at each cylinder in turn. You might see the temperature rise around the glow plug base.
Good luck with it.