Hi
You don't say the age of your vehicle, but I have some knowledge of the setup for the X250 (2006 onwards). The glow plug "relay" is actually a combined electronic circuit board and a high current relay. The plastic case is bonded together, so contact cleaning is pretty well out of the question. I think it is extremely unlikely that dirty contacts are the cause of your problem, and relays are amongst the more reliable parts on modern vehicles. One of the jobs of the circuit board is to monitor the individual currents drawn by the four plugs, and if any one is too high or too low an error message will be generated. The later types will log an error code to indicate which plug is out of spec.
Have you checked that all the glow plugs are OK ? A simple check with an ohmmeter should show about 1 ohm from the plug "hot" terminal to the engine block (disconnect the harness first). The best glow plug testers use a realistic drive current, but this would normally be a garage job. Checking for stored error codes is also recommended.
One faulty plug will mean that the engine is a little rough for a few seconds after starting at very cold temperatures. Otherwise it will pass unnoticed.