the moving parts weigh more, so it does put more strain on everything. i've heard that the TDI's don't like to rev so high, but that is an issue with the pump. i think PD engines can rev quite high due to the fact that they use a single unit injector for each cylinder fired by the camshaft. so as long as you use an oil that can take the beating from that, it should rev pretty good.
Giles can make a pretty mean pump that can rev pretty high

the governor is set to limit the fuel to protect the engine, and also keep the engine inside of its peak power. diesels don't many much if any torque past 4000 rpm. by then its all just HP.
does the computer govern the engine, or does even the TDI engine have the governor assembly as found in IDI models? if it is all computer controlled then there shouldn't be a problem upping it like that. the only issue is internal parts breaking from all the extreme internal pressures (the piston and head on the pump... Tintin was able to break a TDI pump with a 12mm head!! i think he revved past 4500 with it)
diesels are limited by breathing, so that is something to consider... larger downpipe and nice big intake. a bigger turbo flowing more air is also a good idea.