Did you sort this problem? There is a new part available for the fuel return line to prevent similar problems to this on hot engines - in the case specified, it is to prevent engines stopping after restart, but I guess this could be related (on a hot engine, the fuel in the pump expands due to the heat from the engine, and replaces the fuel in the pump with air, hence the engine stops soon after starting, or in your case, will not start without priming)
You need to fit part number 21822234 to the return feed on the high pressure fuel pump - this contains a check valve that prevents the fuel escaping. I'm not saying this is definately the solution but worth a try if you cannot find any other problems and starting when cold is no problem?
Andy