Many of the tier 2 and tier 3 engines use a version of the VE pump. I'm not sure which one you have. Does it have what appears to be a fuel shut off solenoid on the left side of the pump (right out in the open) and angled slightly up hill? Or does it have a larger unit farther back mounted horizontally with a wire attached?
If you have the one with a solenoid on an angle, try this. Remove the wire from that solenoid and secure it where it won't ground out. Then start the engine and see what difference that makes in how it runs.
The cold start advance is commonly misunderstood on many of these tractors. It is often confused with a cold starting aid, which it is not. It is merely a mechanism designed to advance the timing slightly when the engine is cold for emissions purposes only. It has no other effect or benefit. On most Mahindra tractors power is supplied to the solenoid via a timer somewhere that shuts off after about twenty minutes or so. Sometimes if the pump static timing is slightly off by even a few degrees it can make a noticeable difference in how the engine runs, smokes, and performs. Whenever I come across symptoms like yours I like to look into the timing possibility as a source. If adding or removing power from that solenoid makes a difference then the pump timing comes into question.