In theory, you shouldn't hear the whistling. But, the reality is that small leaks are expected between the joints, as previously said.
The only turbo diesel I've driven that didn't whistle was an Audi A3, but that was also the newest car I'd driven and was less than a year old.
If there is a small leak, it shouldn't cause you any major issues, however it's probably best to get it looked at. You'll possibly experience a lack in power if it's a significant leak.