I am completely unfamiliar with the 'anti polution' system on Peugeot's (probably a fairly recent feature). It must be associated to either a diesel catalyst or a recirculation system. Have a look at the engine and see if there is a tallish canister with pipes going to it. The only thing I can suggest is ensure that all pipes and wires are connected. Other than that I can't help I'm afraid.
Hi, the 406 HDI has a container in the exhaust system to trap carbon particulates. Your dealer can instruct the engine management to enter a special mode which generates very high temperatures in the exhaust. This causes the carbon to burn away in the container. When this is complete the ash is removed. Contact you Pug dealer and ask for pricing. This work is detailed in the Haynes Manual for the car also.