TDI engines have many wonderful attributes. I wouldn't trade mine for any other car I've ever owned. BUT, getting the engine hot on a cold winter day is not one of them. Takes about 12 minutes at highway speeds to get it warm enough to make the heater much worth turning on. Longer than that in stop and go traffic where you are sittting and idling (the temp gauge will fall while you are at a stop light on a cold enough day).
Now, the good news is that once you get it warm, the heater will run you out of the car very quickly with the amount of heat it puts out if you want to leave it on high. Once hot, its the hottest heater ever. However, its the slowest car to get to the point where you are getting some useful heat out of the heater that I've ever had. You win some, you lose some, but generating heat fast when its cold is not what a TDI is designed to do.