Colder (actually, more dense, as Justin says) intake air for a diesel engine is fine, up to a point. Smoke will indeed decrease and power may go up as air temperatures go down and density increases - since the air is more dense (more mass of air per cubic inch), there's more air available to burn with the fuel, and combustion will tend to be more complete, thus reducing the partially-oxidized "soot" particles and extracting more power per BTU of fuel injected.
That having been said, remember that a diesel is a compression ignition engine. This doesn't mean that the compression pressure in the cylinder ignites the fuel; rather the heat generated in the charge air in the cylinder during the compression process ignites the fuel. The final temperature of the compressed air is a mathematical function of (among other factors) the initial temperature at the beginning of compression (in effect, IAT) and compression ratio. Under extreme conditions, IAT can get so low that the temperature of the compressed air when the fuel is injected is too low to support efficent combustion. Therefore, there is a limit regarding how low one would want IAT to go.
Large industrial diesels that are sold for extremely cold climates often have a second heating coil in each liquid-to-air intercooler for just this reason - to keep the inlet air manifold temperatures from getting too cold.
Rusty