Some plug in boxes are better than others, and the best of the bunch is probably the dastek unit...
To get more power out of a diesel, you put in more fuel (or more fuel and air).
A plug in box will increse fueling usually either by modifying the signal to the injectors (to increase pulse width) or fool the fuel rail pressure sensor into seeing lower pressures, so it ramps the pressure up to increase fueling (at least the ones I know of do)
On some cars, plugs'ins also alter the turbo boost pressures - but it can't do this on a Td5.... it doesn't (AFAIK) even let you wind the boost up past the boost cut on a Td5.
I think at times they also try and change SOI (Start of injection) but Mike will be able to answer more about this.
Personnaly, I'm still not a fan of plug'ins (although they do have advantages when it comes to avoiding warranty issues on new cars) and I'd still rather have a remapped ECU... at least an ECU knows when the engine goes into fault mode, and stops trying to increase the fueling... and I feel they offer better driveability... and don't bring up fault codes or even make the engine go into limp home mode (as I've known in the past).
But each to their own...
Without being a blatent plug - if you wanted to try a remap I'm not that far from you, and can sort out a slave ECU for you to try.
Ian