Sounds perfectly normal to me, assuming you park your car outside (i.e. not in a garage) overnight. It's simply because the engine is so efficient at converting as much chemical energy in the fuel into mechanical energy pushing down the piston rather than heat energy being dissipated in the exhaust and block. Fortunately, VW routed the coolant to the heater core such that you can get warm air blowing into the cabin before the temperature gauge needle starts to move away from cold. For me, warm air starts blowing after driving two miles at 35 mph after parking the car outside overnight in 30*F temperature, and at that point, the coolant temperature gauge is still at cold.
How about installing a block heater? I am surprised nobody has suggested that yet.
Frost Heater makes block heaters with custom hoses and installation instructions for almost all VW models. All you have to do with this kit is drain the coolant, replace some existing coolant hoses with the Frost Heater kit, and refill the coolant.