To the OP,
I would have been much less worried about the smoke on cold start up, but that's just me. As long as it clears up as the engine warms up, it's fine.
I'm very surprised you don't have a block heater installed by your dealer on EVERY tractor that goes out his door, based on your location.
"YES", a block heater would have helped your "smoke on cold start" issue immediately.
I can't believe the dealer didn't do it automatically, but he certainly should have. He also should have strongly suggested it the first time you mentioned the "issue" to him. Just amazes me that it didn't happen.
There is a substantial difference in the way my tractor starts in the cold** depending on if I use the block heater or not. If I do, it will only "smoke" for about 10-20 seconds before it blows clear, and that's without revving the engine or anything else. Just letting it idle upon startup. If I don't use the block heater, it will "smoke" for several minutes before it starts to blow clear. The difference is night and day.
My tractor is also direct mechanical injection, same as yours. I also no longer have a DPF on it, so it runs the exhaust unfiltered, which means you see all the smoke and it's not trapped by the exhaust filter, which will often HIDE such problems from the operator (doesn't apply in your case, but some users report "smoking" only after removing exhaust filters).
Also, are you treating your fuel? You should be. Treat it per the bottle instructions for the coldest temp you're likely to see during your winter season, and you'll be fine. I use Power Service (white bottle), but there are other brands also.
Same goes for the fluids you use. Engine oil, trans oil and hydraulic fluids. Use the fluids that are rated for at least the coldest temps you are likely to ever see in your area in winter. I'm using all synthetics in my tractor to get the full temperature range I need for my local area (from +105 F to -45 F is my actual ambient temp range).
GENERAL STATEMENTS AHEAD!
***Definition of "COLD" can vary wildly (and sometimes rather comically) on these forums. I see that your location is "Nova Scotia". I suspect your temps average run is slightly warmer than ours here, based on the observation that you are surrounded by a lot of water. Anyhow, once temps start getting below freezing, that's when you should think about things like treating fuel and plugging in block heaters (run the heater(s) on a timer, NOT 24/7). It will help matters even while it's still that warm (yes, I'm saying "below freezing" is still warm). Once we get "real" winter here, our temps get down to -30 to -40F (this winter has been goofy so far-to warm). I don't think you get quite that cold, but that's an assumption I'm making at this point.
***"Temperature" should ALWAYS be listed at "ambient" temps, and NOT any "windchill" bullcrap, when talking about equipment like tractors. Tractors don't give two flying SHIZZNITS on what "wind chill" is. I wish folks would ignore the fake windchill propaganda completely when talking about winter temps and tractor use.
GENERAL STATEMENTS OVER.