Bleed your brakes.
it could also be the power brake assist screwing up. I believe it uses vacuum. Maybe you have a vacuum leak somewhere? If the car has been sitting for 2 years... there must be a lot of little gummed up things on it.
It sounds like your brake booster or the valve that is on it have a leak. The brake booster is a round black thing that is located in the back of the engine compartment on the drivers side. It forms a vacuum inside of it, and when you press the brake pedal, it opens a valve that allows outside air to come in on the opposite side of the vacuum (there is a diaphragm that separates the sides) while sealing off the other side so air doesnt enter the vacuum. This causes the side that the outside air just entered to have a higher pressure than the other side that has the vacuum, and that gives assistance in pushing the brake pedal and engaging your master cylinder. The booster has a rod that is attached to the brake master cylinder so when you get this assistance it pushes the pistons in the master cylinder, which then causes the hydraulic pressure in the brake lines and that then engages your brakes. Then when you let off the brake pedal, the valve on the booster is supposed close, sealing off the outside air and at the same time reopening the rest of the booster to the vacuum, and that is when the pedal returns to its original position. Since the car is a diesel, there will be a vacuum pump that is providing the vacuum for the booster since diesel engines dont produce vacuum.The vacuum pump is not active when the car is off, so the brake will feel firm because you have no assist from the booster. My guess is since when the car is off you have no outside air (higher pressure) fighting the return of the pedal it just goes down firm and comes right back out. But when the car is running, you get that outside air pressure in the booster when you press the pedal down, and i think the reason the pedal is not coming back up is because you have a leak in the valve that is supposed to seal off the outside air, and since the air is not out of the booster it is holding the pedal down.