I will second that. When the engine is cold, you want to take it easy. Think of it this way - which gets more wear: a well lubricated engine or a poorly lubricated engine? When the engine is cold, it's not geting the best lubrication.
Which gets more wear: something that is held tight or something that is clanging around? The diesel pistons need to expand to tighten the piston-wall clearance. This is why a compression test with a cold engine will be different than a compression test with a warm engine. You could make the argument that you want to heat up the engine so that the clearances get as tight as soon as possible. This is correct, but getting into higher rps and keeping the turbo under boost is wrong, just wrong. That is taking the heat up the engine quickly to the extreme, especially on a new engine.
On any engine, broken in or not, let the oil circulate for 10 seconds, drive at light load until warm, then drive normally.