Well it could be the diverter valve. Have you taken it apart to inspect it? it is really a simple component and is easilly removed. If one of the passages has some junk in it, it could be hanging up. Another issue is that you may have a loose connection on the suction line between pump and reservoir. The steering valve at the bottom of the steering column is also a vane pump. The added suction applied to the main pump outlet when you turn the wheel could be aiding it in priming. Have you noticed any erattic action on the loader or 3PH? This is also a sign of air in the system.
As for starting when cold, your glowplugs may be OK now, but they won't be if you keep up the starting practice you described. Neither will the starter with 3-4 start attempts for each actual start. One thing that makes a huge difference in start performance, but is not readilly noticible while cranking is the charge state of the battery.
First off, the cold saps the batterys energy, and makes the glow plugs not make as much heat as they normally would. This in a very cold engine reduces their pre-heat effectiveness even further. The reduction in battery energy also leads to a slight reduction in crank RPM and ultimate piston velocity. A slower piston speed compresses the air slower and leaves more time for the cylinder and head to absorb the heat generated and a results in a final lower temp air pocket that the cold fuel is sprayed into. The result is the poor or no detonation condition when the injector fires...
Do you have a volt meter and a battery charger?
I recently experienced some cold start issues in the upper 20F-lower 30F temps we have been having here, and figured my nearly 3 year old chinese battery was on it's way out. After charging with a battery charger for 30 minutes, the engine started normally with the standard 20 seconds of pre-heat and midrange throttle that I normally use for startup. As soon as the engine fires, I ****** the throttle so the RPM never goes over the 900 RPM idle. I also, warm or cold, always use compression release to aid in engine spinup and to allow crankshaft oil pressure to build(saves wear on rod bearings). It didn't sound any different while cranking than it did the day before when it failed to start at near the same cold temp. But that little difference in plug effectiveness and crank RPM made a very noticeable difference in starting.
As standard troubleshooting though, I checked and cleaned all the electrical connections at battery, frame and starter. Have you done this? I also put a voltmeter on the battery while the engine was running. I only saw a peak around 13.5-6 VDC. With the engine running at say 1000 RPM, what voltage do you measure at the battery? Normal voltage to be applied to a lead acid auto battery by the alternator is 14.5VDC +/- .5VDC. If you are getting less than 14V at 1000 RPM at the battery, you are not fully charging the battery. This appears to be my main problem as my battery still checks out good. At 13.5V, I am never leaving the battery with a full charge when I shut down. Now this may be fixed with a new voltage regulator, but looking back in my records, mine has always been a little on the low side. I am working on a way to adjust this and increase the alternator output to a more appropriate 14.5 volts. Untill then, I am using an automatic battery charger to keep the battery peaked, and the tractor is starting first time regardless of temp.