It does that mostly to help prevent washdown of cylinders from uncombusted diesel fuel. Once it's up to temperature it'll also bump the idle up to 1000 RPM for a couple minutes at a time to help prevent the engine from cooling down too much. Diesels are too efficient at idle and in cold weather, this can lead to a decrease in temperature and some side effects. It's best to not idle a cold engine (in fact, warm engines too) longer than a couple of minutes. Bottom line is it's behaving as it should.