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You most likely have a bad control box.
You will most likely need to buy or borrow the tool to remove the swollen glow plugs.
Hopefully you don't break the tip off inside the head other wise you will have some real fun.
Have you ready through all of the sticky's listed on the top of the HMMWV...
To answer part of your question.
Yes depending on what control box you have the glow plugs will cycle for a few minutes after the engine is running.
You may notice the charging gauge pulse for a few minutes after engine starts .It is my understanding that that is normal with some control box's...