You may have 1 of several possible sceneraos here.
First of all, it is normal for the antifreeze to drop a bit when engine is cold (lite comes on) and then expand when engine heats up (lite goes off). This is easilly fixed by adding about a cup of antifreeze to the resivour so the lite does not come on in the cold. I am assuming this is NOT what you are talking about.
I also must assume that you have the proper VW-specified G12 antifreeze in your engine (PINK color) Mixing in ANY other type of antifreeze can create a 'gell' which can clog coolant-passagways. The side of the coolant-resivour specifically says "G12" on it for this reason.
You need to check if you have the dreaded "Coolant Migration Problem" ( http://www.myturbodiesel.com/1000q_how_
Also, I beleive your engine has the watercooled EGR. This means the antifreeze runs thru the EGR pipe alongside the exhaust. It is possible for coolant to leak into exhaust.
I hope the above helps you.
Source: Personal experience