The '80s Audi "unintended acceleration" scandal I think made VW very sensitive about detecting and stopping "pedal misapplication" situations. Hence their having programmed the cars this way (plus the elaborate shift interlock system on automatics that, unlike most makes, operates to protect shifts not only from park but also from neutral).
Unless I am mistaken though, it still should let you get away with a short blip of the throttle for heel and toe downshifts. Though I guess I'm not sure what year/model TDI you're driving, and if it's a newer car than what I have experience with, I may be wrong about that. But at least on all the cars I've had (PD and older, no newer CR era models that I can speak to on this), it'll let you rev the motor with a quick stab of the gas, even if you're on the brakes also. It only will intervene and shut down the throttle input after you have been holding both pedals down for more a second or two, when it figures you must be making a potentially fatal mistake.