No, a balancing of the rotating assembly (which would be EVERYTHING that is spinning... crank...pulley...flywheel) is typically done with race engines that are spinning at super high RPMs.
Rule of thumb with VAG engines: the specifications and tolerances from the factory are VERY good, right out of the box. The TDI is far to slow spinning not to mention fat and chunky to worry about anything beyond what the factory already did when it balanced your crankshaft when it was manufactured.
You just want to make sure the four pistons weigh the same, and the four rods not only weigh the same but are the same length (this is why VAG batch builds rods, and stamps them with a number, so when they grab X number of rods for an engine, they grab them from the same bin so they all have the same number).