And how do you know? I seem to get lukewarm air almost immediately.
That's normal. All Mk5 (2005.5) and newer TDIs have a 1000 watt aux heater built in to our heater. In cold weather, the best it can do is lukewarm air, but that is a lot better than nothing.
How do you know? Well, sometimes you can hear the heater relay click when you turn the heat all the way up. Or you could just believe that it is there. Diesels take a while to warm up, so that you have hot water for the main heater. That electric aux heater is the only reason why you get that "lukewarm air almost immediately". This is how you know!
Have Fun!
Don