I've figured out that the ECU needs to be re-coded to support climatronic for A/C to work on my B5 A4 with BHW. With the OEM BHW tune, this is possible by just going to the ECU coding module in VCDS. However, if you're running a Malone tune, he uses a BEW file as the base for BHW manual transmission setups, and the BEW was never available with climatronic so you lose the ability to recode for that feature. When I flashed the OEM BHW file to my ECU and recoded for climatronic, A/C worked perfectly and the climatronic unit had complete control over it. But the engine runs like crap because it's a far cry from stock. As soon as the appropriate Malone tune is flashed, I lose all A/C functionality.
Last I heard, Malone is working on a fix for this issue, but it hasn't been done yet. In the meantime, I've hooked up a fused relay and switch that sends 12v directly to the compressor clutch so I can turn on A/C manually. This has served well enough, although I really hope it's just a temporary kludge.