Welcome to the club killhippie.
Well it does seem that that you have been unlucky with your Megane in the 4 months of ownership.
A few of our members have posted problems about their Megane GT 2.0dCi's, and others have been trouble free. This typifies Megane ownership some are good and some are bad!
Boysie posted about his 2 GT dCi's being very smokey on startup a while ago, but I don't know if anything was done to resolve the problem?
New engines can burn a little oil, but usually this should start to settle down once you're past 4000 miles (Renault's mileage figure for when they estimate the car will be "run in" and you will achieve full performance).
However if you are obliterating the landscape every cold start then something is not right.
Has the engine used any oil?
If so how much have you had to use to top it up?
Boysie and Celticking have both had electrical problems with their GT's, hopefully they will be along shortly to offer some more advice (try searching for posts by them)
You have every right to reject the car considering the problems you have had. If you bought it on finance then the Finance company will be able to assist you.
I would first document all the problems you have had in a letter to the MD of the dealership, Renault UK customer services and your finance company and see what the response is?