Do you think you could drive the car? This would at least put a proper load on the engine and so might then really show up the problem and make it more likely that a DTC will be raised. It would also get the engine to reach proper running temperatures, which I'm not sure you've yet done?
I could be wrong, but problems like minor leakage from the base of the injectors or glowplug uncertainties are mere distractions from the real problem. If you have a bit of time on your hands then you'd probably be better spending the time temporarily blanking off the EGR valve as Fahad suggested... this WILL cause the warning light to come on plus a 'limp mode' 2000/2500RPM rev limit but the car should run well until reaching that limit. I know you refitted a previously working unit, but the symptoms do match those of a stuck open EGR valve.
You sure you connected up all the vacuum pipework OK? There are a few subtle differences between pre-2006 engine components and later engines... IMRC control, EGR valve type, etc...
Getting the car onto a proper, interactive diagnostic system (such as HDS or Snap-On with the correct key) should show up which engine sub-system is causing your problem.
That was a good question!