Peugeot 206 1.9 d xtd does not start in cold

Hello colleagues, I have taken the car to the mechanic, some time ago I had proven that the diesel pump lost somewhere ... total that the mechanic tells me that the car does not start in cold due to lack of compression in the engine, which where the diesel is leaving also the compression leaves, and that is why when the car with the cold engine is going to it costs to start, what do you think? I have to tell you that one sees that the car starts there are no longer problems to start, it only happens to me in cold, and as it starts as the car makes a threat of standing, that is, the needle of the revolutions as it goes down and goes up again this does it 2 times and it is already stabilized, also when I start it, I get a little white smoke, not much, but something comes out.

White smoke in oil tankers or is water or is an injector that does not inject, and part as well as in three legs and get off, I see first injectors

I have seen this morning that when pressing the bombin that is next to the diesel filter the car lost diesel for the advancement electrovalve, perhaps this is the reason why it costs it to start, do you know whether to change it, is it necessary to remove the pump? I tell you why I have it by hand but I don't know how it is removed if you are curled at pressure etc.