A diesel engine is stopped by cutting off its fuel. That's done in one of two ways. You can manually press the STOP lever on the throttle linkage or turn the key to OFF. When you turn the key to OFF vacuum is applied to a small bellows inside the injection pump, the "shut down device," which pulls the fuel rack to its OFF position and the engine, deprived of fuel, stops. Remember this, for a vacuum leak (anywhere) or worn out shut down device will allow the engine to keep running no matter what you do with the key and until you open the hood and press the STOP lever which will always stop the engine. As a new diesel driver you should know how to manually stop the engine. Try it, you won't hurt anything.
As a matter of interest, a diesel can "runaway" that is, run uncontrolled to the point of self destruction if, but only if, its lube oil is somehow sucked into its intake manifold. The engine, being an oil engine runs on its lube oil rather than its fuel. I've heard of this happening with stationary engines when their turbos' seals failed but haven't heard that happen with our engines.