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Depends on your turbo lubrication. The diesel engine part won't mind. The finicky turbo (especially if it's a variable geometry one) will mind if it's oil-fed... and variable geometry turbos almost always use oil as part of the system that works the vanes (can't recall one that doesn't).
Probably not a big deal if you don't run hard enough to get it hot... but I've seen turbo failures on these "modern" diesels from owners who don't understand the peculiarities of the system.
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