Welcome to the club, Colin.
The first question I will ask is the mileage and the service record.
Your car is 10 years old and should have had a cambelt change at either 10 years or 105k miles.
You should also check the age of the battery, as Jaguars have a lot of electrical equipment and batteries usually last about 5 years.
The engine in your XF is the same one as I have in my s type, and it is a very good engine, well engineered, and designed as a joint venture between Ford and Peugeot plus some other input from other automotive companies. One of the issues with diesel engines is that the fuel system is quite a complicated one, with Exhaust Gas Recirculation valves, [EGR] which sometimes stick, and a Diesel Particulate Filter [DPF] which sometime gets full. Having said that, neither of those parts can cause a problem if you treat the engine and the fuel system correctly.
You should always use Premium Fuel. I use Shell V Power -- a good fuel and a Shell Petrol station 500 yards away! I also occasionally use an additive to keep theEGR vales and the DPF clean [Millers Diesel Eco Plus]. If you do a lot of short runs, you should also do a longer run once a month or so which will regenerate the DPF -- just about 20 minutes keeping the revs about the level for 45 mph. If your car can be locked in a gear -- 3rd or 4th that will help. The engine will get hot and the particulates in the filter will be burnt off, and the DPF will be good as new.
On a good note, I doo a lot of shorter runs but have never had a problem with the DPF filter and I have had my car for 5 years.
This is a long post, but the best advice is to enjoy your car, after all, it is a Jaguar!
Regards,
Peter.