My 97 Jetta has done that too. The first time I saw that I believe was two and a half years ago. I was driving home, and not far from Oakville VW, so I decided I better stop in and see what they say. The service advisor looked at me like I was nuts. I wasn't impressed. The next time I stopped in for service, I told the service manager about that small white smoke stream coming from the steering column, and he said next time I see it, let them know and they'll have to replace, I think he mentioned the ignition coil. I think I prefer that answer compared to the "look" like I was nuts.
In any case, I haven't replaced it and have only seen it about 4 or 5 times in all. If I do see it again, I will have them look at it though.