As far as I'm aware, glow plugs are not strictly necessary in normal spring/summer/autumn UK temperatures, they simply
assist with a quick, smooth and clean start.
As ambient temperatures fall,
greater assistance is required in order to achieve the same quick, smooth and clean start. Hence the reason the light lingers a little longer before extinguishing during colder winter weather than in warmer summer weather.
I doubt if damage would result from an immediate start, even in colder weather, it might just struggle a little and emissions may suffer a little initially.
My personal opinion is, if MB's official handbook tells me to do it, then I do it. I can't think of a reason not to either, as even in the coldest weather it takes barely a few seconds. Of course old habbits (from driving petrol-engined cars) die hard though!!
Dieselman will no doubt provide a valuable view on this though.