A diesel engine fuel system needs to be bled before the car will run properly, otherwise the air in the pipes just compresses and the fuel will not flow. It is also not a good idea because any crap that is sitting in the bottom of the tank (from the fuel, or from condensation in the tank may be picked up into the fuel system.
The main reason why you shouldn't run diesels out of fuel completely is because you damage the fuel system components.
Diesel injection systems run at very high pressures to very fine tolerances and rely on the fuel for lubrication, if you allow the system to run dry it can have a similar effect (on the injection system) to running your engine wthout oil!.
The reason for the strip down / clean out after running out of fuel is to remove the microscopic swarf that may have resulted from abrasion to fuel pumps etc, before it damages high pessure components such as injectors beyond repair.
i never run mine dry i know our delvery vans are never run below half a tank irc