OK, here's my take on your situation.
The 'choke' (or more precisely cold start assist) makes no difference to the running of the motor under normal conditions. It advances the timing up to a certain point, then has no effect. You will not have damaged your motor running with it out.
The clicking relays are fine. These are powering the glowplugs.
The only power you should have to the diesel pump is a 12V feed to the stop solenoid (already mentioned in here). This basically stops the fuel flow when there are no volts to it, thus it stops the motor. Stop solenoids are very simple and very, very rarely fail. I've only seen them replaced when people have been convinced it's them that are the problem and every time it's been something else, NOT the solenoid.
Has this motor sat around for a while, prior to you buying it?
Although you *can* sometimes get air bubbles in diesel fuel feeds, you shouldn't have them there under normal conditions. I would have said this is a cause for concern. Diesels like to have a nice, airless flow of fuel to the motor. They don't need a lift pump, as the injector pump on the engine pulls enough fuel through to the motor and it should be pulling it through devoid of any air. Check the connections to the fuel filter and any joints in the feed and/or return. If fuel is getting into the system somewhere it will properly screw how the motor runs.
The biggest concern at this point is that the pump seals have gone. They might have dried out if the car's been sat for a few months, doing nothing. Diesel pumps run extremely high internal pressure through to the injectors. If there is a leaking seal on the pump it may be oily around the drive sprocket on the cambelt - have a look in there. If it is letting air into the system during normal running this would account for the car stalling and lacking power - fuel feed is going intermittant, so not all cylinders are firing when they should.
Mechanical diesels like yours are VERY simple creatures. They need good compression, 12V feed and a solid supply of fuel to the diesel pump. If all that's in place there's not much excuse for them to not run (except knackered glowplugs, when the motor's cold). You need to confirm that the injector pump is not leaking air into the system. That would be my prime suspect in this situaiton.
