One reason I haven't seen mentioned yet in this thread is that even for modern turbo diesels you are instructed in the owner's manual to let it cool for about 4-5minutes before shutoff. IIRC this allows the turbo to cool enough to not get damaged when there's no airflow. Funny enough they also tell you not to let it run too long, presumably because the engine is too cool to burn it completely and you get residue buildup; I believe this is due to the biodiesel they cut most fuel (diesel #2) with.

Source: I own a modern turbo diesel and read the manual.