Mine does the exact same thing.
I hooked up a light that's direct wired to teh glow plugs, just to make sure they were coming on, turning off correctly. What I found was that even if the yellow indicator only came on for a split second, the glowplugs came on normally.
In my case, the plugs stay on for 60-120 seconds. Yours may be the same, if so make sure you have the correct plugs