All 4 of my TDIs have benefitted from it. Especially in extreme (5F or less) cold. Anything that helps get the engine up to temp quicker and hold it there is going to help use less fuel, even if it is only a tiny amount. That isn't so much science as common sense.
Of course, if you have a less-than-ideal functioning thermostat, blocking the grill will probably appear to help even more than it normally would. But like I said, on ALL my TDIs, which have been a 1997 Passat with a 1Z engine, a 1998 Jetta with an AHU, a 2000 Golf with an ALH, and a 2004 Passat with a BHW, have shown some improvement with doing this in the winter, and all my cars are equipped with proper functioning thermostats.